Krzysztof Wolyniec on leverage effects and volatility in commodity markets
A P&L attribution framework can improve the information available to energy traders
The meaningful uncertainty simulation framework can enable energy firms to make better decisions
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
How to calculate expected future carbon costs and optimal valuation and hedging decisions, by adjusting Monte Carlo simulations for the UK market
Dynamic hedging is becoming more common among plant operators
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
The manner in which wind generation can affect the half-hourly APX price is discussed
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Quant ideas paper dissects layers of valuation models for physical assets
Applying kriging to extract smooth curves from energy futures prices
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderounmu and Rodney Wolff outline, these spikes are hard to...
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract...
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via...