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The impact of fundamental and financial traders on the term structure of oil
Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - 2014
We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market … integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve … sub-periods of a sharp WTI-price rise as well as a diverging Brent-WTI-spread. Our contribution is threefold: First, we …
Persistent link: https://www.econbiz.de/10010335954
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Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
investigates the directionally dynamic connectedness among WTI and Shanghai crude oil futures and currency markets. We explored …
Persistent link: https://www.econbiz.de/10014534437
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Forecasting the price of crude oil via convenience yield predictions
Knetsch, Thomas A. - 2006
The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...
Persistent link: https://www.econbiz.de/10010295802
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Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie
Rodt, Marc; Schäfer, Klaus - 2005
The regulatory changes in the german electric power market result in rising electricity price volatility. As a consequence electricity price risk management is essential for an electricity trader. The paper therefore analyzes the needed volume of futures hedging for an electricity trader, that...
Persistent link: https://www.econbiz.de/10010298507
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
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Comparative statics for real options on oil: What stylized facts to use?
Lund, Diderik; Nymoen, Ragnar - 2013
Comparative-statics results for financial options are often assumed to hold for real options. But the effects of higher volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are held constant. For real options, the...
Persistent link: https://www.econbiz.de/10010330217
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Theory of storage: an empirical assessment of the European natural gas market
Stronzik, Marcus; Rammerstorfer, Margarethe; Neumann, Anne - 2008
We analyze the relation between European natural gas storage facilities and price patterns at major trading points, considering the theory of storage to derive a testable hypothesis imposed by the non-arbitrage condition. To model the efficiency of the natural gas market, we apply two indirect...
Persistent link: https://www.econbiz.de/10010265029
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Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli, Marco; Schmeck, Maren Diane; Vargiolu, Tiziano - 2019
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier transform methods, introduce a specific calibration...
Persistent link: https://www.econbiz.de/10012388842
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The market price of risk for delivery periods: Pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren Diane; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de/10012388852