The aim of this paper is to show the benefit of applying a moment matching technique to the short leg component in order to price and hedge multi-asset spread options: in particular, we approximate the real dynamics of the short leg component by taking a log-normal proxy, whose equivalent...

Pricing rules in wholesale electricity markets are usually classified around two major groups, namely linear (aka non-discriminatory) and non-linear (aka discriminatory). As well known, the major difference lies on the way non-convexities are considered in the computation of market prices.

In the last 10years, thanks to the worldwide energy liberalization process, the birth of competitive gas markets and the recent financial crisis, traditional long term swing contracts in Europe have been supplemented in a significant way by make-up clauses which allow postponing the withdrawal...

This paper provides a comprehensive discussion of the market value of variable renewable energy (VRE). The inherent variability of wind speeds and solar radiation affects the price that VRE generators receive on the market (market value). During windy and sunny times the additional electricity...

This paper proposes a Fuzzy Goal Programming model (FGP) for a real aggregate production-planning problem. To do so, an application was made in a Brazilian Sugar and Ethanol Milling Company. The FGP Model depicts the comprehensive production process of sugar, ethanol, molasses and derivatives,...

Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...

This paper shows that extreme energy price changes, located in the 10% tails of the distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to 2012. Using multinominal logit regressions, we find that the coincidence of such tail events cannot be explained solely...

This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large...

In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...

The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...