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...

In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...

In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement.We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

We consider the surplus process of a life insurer who is able to buy a securitisation product to hedge mortality in a discrete time framework. Two cohorts are considered: one underlying the securitisation product and one for the portfolio of the insurer. In our main result we show that there...

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...