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Risk Premia in Electricity Forward Prices

Diko, Pavel; Lawford, Steve; Limpens, Valerie - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3

We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the...

Persistent link: https://www.econbiz.de/10014620970

Risk premia in electricity forward prices

Diko, Pavel (contributor); Lawford, Steve (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10003559094

Risk Premia in Electricity Forward Prices

Diko, Pavel; Lawford, Steve; Limpens, Valerie - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3, pp. 1358-1358

Persistent link: https://www.econbiz.de/10005246312

Risk Premia in Electricity Forward Prices

Diko, Pavel; Lawford, Steve; Limpens, Valerie - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1358-1358

Persistent link: https://www.econbiz.de/10004966177

Pricing precipitation based derivatives

Carmona, René; Diko, Pavel - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 959-988

Persistent link: https://www.econbiz.de/10003206788

PRICING PRECIPITATION BASED DERIVATIVES

CARMONA, RENÉ; DIKO, PAVEL - In: International Journal of Theoretical and Applied … 08 (2005) 07, pp. 959-988

We consider the problem of pricing a derivative contract written on precipitation at a specific location during a given period of time. We propose a jump Markov process model for the stochastic dynamics of the underlying precipitation. Our model is based on pulse Poisson process models widely...

Persistent link: https://www.econbiz.de/10004977454