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...

The taxation of dividends in Germany underwent major changes. We analyze the implications of these changes for the valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain the level of deviations from the cost-of-carry...

Using a detailed data set of electricity forward prices in Central Europe, we compute the intra-day risk premium and market price of risk for the two electricity exchanges European Energy Exchange (EEX) and Energy Exchange Austria (EXAA). Given the significant volatility and jump risk of...

Express certificates form a new class of structured derivatives in Germany with dynamic growth in terms of market capitalization. They are subject to early redemption if the underlying is above strike levels at predetermined points in time. This early redemption leads to a truncation and...