This paper uses real options theory to value an investment opportunity known as the Mediterranean-Dead Sea hydroelectric project. We employ a discrete time model to:-quantify simultaneous variation of three decision variables over the useful life of the project;-value options to: postpone the...

We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contributions of analysts in facilitating price discovery in futures markets. Using a high frequency database of analyst storage forecasts, we show that the market appears to strongly condition...

Objective of this paper is to gain insights into jump occurrences and to enhance the understanding of modelling jumps in electricity markets. We provide a common modelling framework that allows to incorporate the main jump patterns observed in electricity spot prices and compare the...

We reveal properties of electricity spot prices that cannot be captured by the statistical models, commonly used to model financial asset prices, that are increasingly used to model electricity prices. Using more than eight years of half-hourly spot price data from the New Zealand Electricity...

I investigate whether the volatility risk premium is negative in energy and equity markets by examining the statistical properties of delta-gamma hedged option portfolios (selling the option, hedging with the underlying contract, and correcting for tracking error with an additional option). By...

I investigate whether the volatility risk premium is negative in energy and equity markets by examining the statistical properties of delta-gamma hedged option portfolios (selling the option, hedging with the underlying contract, and correcting for tracking error with an additional option). By...

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

The Gulf of Guinea's tremendous potential is creating investment opportunities for the region. Some of its resources, such as oil, minerals, and forests, continue to attract significant investments whereas others, like natural gas, could be exploited to their full potential if necessary...

This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers quot;spotquot; prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional...

The links between emission and energy markets are of great interest to practitioners, academics and policy makers. In this paper, it is conjectured that a positive relationship exists between emission allowance spot returns and electricity risk premia within the European Union Emissions Trading...