This paper summarizes the highlights and collaborations that emerged in the research track on "Pricing and optimization of intraday/day-ahead electricity and futures contracts" in the program "Mathematics for Energy Systems" at the Isaac Newton Institute, University of Cambridge, between...

This study analyzes price discrimination and household switching in the residential mortgage market. Using a unique proprietary micro dataset from Norway, we examine the difference between the loan rate paid by current clients when receiving a competing offer from another bank and the best rate...

In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan between 2009 and 2021. The results suggest a stronger oil-gas link for all investigated markets after 2019, significantly...

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels....

In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncertainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates and...