A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...

Electricity is an essential commodity traded at power exchanges. Its price is very volatile within a day and over the year. This raises questions about the efficiency of the trading rules. The author develops a non-cooperative auction model analyzing the bidding behavior of producers at power...