Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity … certificates and the German "Atom Moratorium" we show that a significant part of the risk premium in electricity forwards is due to …

In this article we derive risk-neutral option price formulas for both plain-vanilla and exotic electricity futures … also correlate electricity prices with outdoor temperature and treat a related pricing problem under supplementary … utility-maximizing portfolio selection and optimal consumption rates in electricity futures markets even under forward …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … principle. Our explicit results are particularly useful for electricity retailers, who have sold an option to a client, and now … want to hedge the payoff of this option by investing into an electricity futures and into the issued option itself. Another …

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an … analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset …

Australian electricity markets. Examining ex-post risk premiums in futures markets, we find positive and significant risk … premiums for several of the considered regions. Therefore, electricity futures prices cannot be considered as an unbiased … electricity market. We also relate realized premiums to variables such as spot price levels, volatility, skewness and kurtosis …

We investigate the economic factors that drive electricity risk premia in the European emissions constrained economy …. Our analysis is undertaken for monthly baseload electricity futures for delivery in the Nordic, French and British power … markets. We find that electricity risk premia are significantly related to the volatility of electricity spot prices, demand …

We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding … further derive pricing formulas for electricity forwards under future information and investigate the associated information …

We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity …

. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity …

. From a financial perspective, PTRs are exchange options written on the German and Dutch day-ahead electricity price. We …