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Application of a stochastic price modeling method to energy commodities and their derivative contracts
Lin, Tao - 2007
Persistent link: https://www.econbiz.de/10003724298
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Efficient Pricing of Energy Derivatives
Trolle, Anders B. - 2016
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fast and accurate Fourier-based pricing...
Persistent link: https://www.econbiz.de/10013005705
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Risikomanagement im Energiehandel : Grundlagen, Techniken und Absicherungsstrategien für den Einsatz von Derivaten
Bergschneider, Claus; Karasz, Michael; Schumacher, Ralf - 1999
Persistent link: https://www.econbiz.de/10001391906
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Risikomanagement im Energiehandel : Grundlagen, Techniken und Absicherungsstrategien für den Einsatz von Derivaten
Bergschneider, Claus; Karasz, Michael; Schumacher, Ralf - 2001 - 2., überarb. und erw. Aufl.
Persistent link: https://www.econbiz.de/10001608295
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A Model of Price Correlations between Clean Energy Indices and Energy Commodities
Kanamura, Takashi - 2019
Persistent link: https://www.econbiz.de/10012870088
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Can Environmental Sustainability Be Used to Manage Energy Price Risk?
Henriques, Irene - 2013
Energy security issues and climate change are two of the most pressing problems facing society and both of these problems are likely to increase energy price variability in the coming years. This paper develops and estimates a model of a company's energy price exposure and presents evidence...
Persistent link: https://www.econbiz.de/10013095078
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Ėnergoemkostʹ ėkonomiki i ceny na ėnergonositeli : globalʹnye tendencii /Institut Sistem Ėnergetiki im. L. A. Melentʹeva SO RAN. Ju. D. Kononov ...
Kononov, Jurij D.; Galʹperova, Elena Vasilʹevna; … - 1999
Persistent link: https://www.econbiz.de/10001434924
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Electricity spot and derivatives pricing when markets are interconnected
Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - 2013 - This version: Sept. 2013
Increasing interconnectivity between electricity wholesale markets requires an efficient allocation scheme in order to provide access to scarce cross-border transmission capacities. The explicit schemes have primarily induced economically inefficient interconnector use given that flows have to...
Persistent link: https://www.econbiz.de/10010410471
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Fair Pricing of Energy Derivatives - A Comparative Study
Hamada, Mahmoud - 2014
resulting in a less volatile hedged exposure to the under lying. With the importance of derivative trading for market … participants, consistent methods of derivative pricing become important.This paper is a comparative study of two existing … underlying spot price, combined with extreme value theory, and the SDE approach based on no-arbitrage theory utilising …
Persistent link: https://www.econbiz.de/10013068675