We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …

. This results in considerable price risk for retailers, who are sometimes forbidden by regulators from signing hedging … and price volatility. Indeed, economic theory suggests that even modestly price-responsive demand can remove the stress on …

many other problemsassociated with electricity markets, such as exercise of market power andprice volatility. Indeed …

Energiemarkt identifiziert. Weiterhin die belegt Arbeit die Relevanz von Ölpreisschocks für die Arbeitslosigkeit in Deutschland. …

In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … example, we can define a process such that the stock price moves to a high volatility state and simultaneously has a large … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …