Journal of Energy Markets - Risk.net
http://www.risk.net/
Journal of Energy MarketsPricing and hedging multiasset spread options using a three-dimensional Fourier cosine series expansion method
<p></p>
<p><!-- subheading --> Volume 7, Issue 2 (2014) <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2349521/pricing-and-hedging-multiasset-spread-options-using-a-three-dimensional-fourier-cosine-series-expansion-method
http://www.risk.net/journal-of-energy-markets/technical-paper/2349521/pricing-and-hedging-multiasset-spread-options-using-a-three-dimensional-fourier-cosine-series-expansion-methodMon, 30 Jun 2014 14:35:00 +0100Exchange rates, oil prices and electricity spot prices: empirical insights from European Union markets
<p></p>
<p><!-- subheading --> Volume 7, Issue 2 (2014) <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2349510/exchange-rates-oil-prices-and-electricity-spot-prices-empirical-insights-from-european-union-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2349510/exchange-rates-oil-prices-and-electricity-spot-prices-empirical-insights-from-european-union-marketsMon, 30 Jun 2014 14:24:00 +0100Evaluating the effects of changing market parameters and policy implications in the German electricity market
<p></p>
<p><!-- subheading --> Volume 7, Issue 2 (2014) <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2349505/evaluating-the-effects-of-changing-market-parameters-and-policy-implications-in-the-german-electricity-market
http://www.risk.net/journal-of-energy-markets/technical-paper/2349505/evaluating-the-effects-of-changing-market-parameters-and-policy-implications-in-the-german-electricity-marketMon, 30 Jun 2014 14:14:00 +0100Pricing and hedging options in energy markets using Black-76
<p></p>
<p><!-- subheading --> Volume 7, Issue 2 (2014) <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2349502/pricing-and-hedging-options-in-energy-markets-using-black-76
http://www.risk.net/journal-of-energy-markets/technical-paper/2349502/pricing-and-hedging-options-in-energy-markets-using-black-76Mon, 30 Jun 2014 13:56:00 +0100The Journal of Energy Markets (7.2)
<p></p>
<p><!-- subheading --> Volume 7, Issue 2, 2014 <!-- end-subheading --> <!-- summary --> This issue of The Journal of Energy Markets consists of four papers, all of which build on the use of advanced time series techniques for modeling price risk in electricity and gas markets. These analyses provide insights into the fundamental drivers of risk, and also extend into option pricing and hedging processes... <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2349469/latest-issue-of-the-journal-of-energy-markets-volume-7-number-2-2014
http://www.risk.net/journal-of-energy-markets/journal/2349469/latest-issue-of-the-journal-of-energy-markets-volume-7-number-2-2014Mon, 30 Jun 2014 13:45:00 +0100The Journal of Energy Markets (7.1 - 2014)
<p></p>
<p><!-- subheading --> Volume 7, Issue 1, 2014 <!-- end-subheading --> <!-- summary --> Applying well-specified quantitative models in energy forecasting and hedging continues to be challenging. Even well-established approaches require careful adaptations. In this issue of The Journal of Energy Markets we see the practical importance of advanced modeling techniques across four distinct application areas. Looking at oil derivatives, the integration of regional spot oil markets, electricity spikes and the linkage of the carbon price to prices in the main energy markets, the value of adapting generalized autoregressive conditional heteroscedasticity (GARCH) volatility modeling, regime-switching, copula and conditional correlation models is empirically demonstrated... <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2330616/latest-issue-of-the-journal-of-energy-markets-volume-7-number-1-2014
http://www.risk.net/journal-of-energy-markets/journal/2330616/latest-issue-of-the-journal-of-energy-markets-volume-7-number-1-2014Sun, 30 Mar 2014 17:06:00 +0100Extreme dependence between China’s oil market and the world oil market: empirical evidence and implications
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2330816/extreme-dependence-between-china-s-oil-market-and-the-world-oil-market-empirical-evidence-and-implications
http://www.risk.net/journal-of-energy-markets/technical-paper/2330816/extreme-dependence-between-china-s-oil-market-and-the-world-oil-market-empirical-evidence-and-implicationsSun, 30 Mar 2014 12:39:00 +0100Models for short-term forecasting of spike occurrences in Australian electricity markets: a comparative study
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2330808/models-for-short-term-forecasting-of-spike-occurrences-in-australian-electricity-markets-a-comparative-study
http://www.risk.net/journal-of-energy-markets/technical-paper/2330808/models-for-short-term-forecasting-of-spike-occurrences-in-australian-electricity-markets-a-comparative-studySun, 30 Mar 2014 12:31:00 +0100Hedging crude oil derivatives in GARCH-type models
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2330799/hedging-crude-oil-derivatives-in-garch-type-models
http://www.risk.net/journal-of-energy-markets/technical-paper/2330799/hedging-crude-oil-derivatives-in-garch-type-modelsSun, 30 Mar 2014 12:16:00 +0100Carbon price volatility and financial risk management
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2330790/carbon-price-volatility-and-financial-risk-management
http://www.risk.net/journal-of-energy-markets/technical-paper/2330790/carbon-price-volatility-and-financial-risk-managementSun, 30 Mar 2014 12:09:00 +0100Risk premiums in energy markets
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2309134/risk-premiums-in-energy-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2309134/risk-premiums-in-energy-marketsThu, 19 Dec 2013 16:22:00 +0000Weather forecasting with market prices of weather futures
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2309129/weather-forecasting-with-market-prices-of-weather-futures
http://www.risk.net/journal-of-energy-markets/technical-paper/2309129/weather-forecasting-with-market-prices-of-weather-futuresThu, 19 Dec 2013 16:18:00 +0000Pricing electricity swaptions under a stochastic volatility term structure model
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2309125/pricing-electricity-swaptions-under-a-stochastic-volatility-term-structure-model
http://www.risk.net/journal-of-energy-markets/technical-paper/2309125/pricing-electricity-swaptions-under-a-stochastic-volatility-term-structure-modelThu, 19 Dec 2013 16:13:00 +0000Spread volatility of cointegrated commodity pairs
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2309124/spread-volatility-of-cointegrated-commodity-pairs
http://www.risk.net/journal-of-energy-markets/technical-paper/2309124/spread-volatility-of-cointegrated-commodity-pairsThu, 19 Dec 2013 16:06:00 +0000On the modeling of temperature dynamics for pricing weather-related products
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2309114/on-the-modeling-of-temperature-dynamics-for-pricing-weather-related-products
http://www.risk.net/journal-of-energy-markets/technical-paper/2309114/on-the-modeling-of-temperature-dynamics-for-pricing-weather-related-productsThu, 19 Dec 2013 16:00:00 +0000The Journal of Energy Markets (6.4 - 2013)
<p></p>
<p><!-- subheading --> Volume 6, Issue 4, 2013 <!-- end-subheading --> <!-- summary --> This issue of The Journal of Energy Markets focuses on financial engineering and energy derivatives, covering the topics of weather derivatives, electricity option pricing, spread volatility and risk premiums in power markets. With the trend toward greater renewable energy, the impact of weather conditions (which are always important for determining demand) is becoming crucial on the supply side. Accordingly, our first two papers in this issue analyze temperature derivatives... <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2309108/latest-issue-of-the-journal-of-energy-markets-volume-6-number-4-winter-2013-14
http://www.risk.net/journal-of-energy-markets/journal/2309108/latest-issue-of-the-journal-of-energy-markets-volume-6-number-4-winter-2013-14Thu, 19 Dec 2013 15:43:00 +0000Representing the effects of oligopolistic competition on risk-neutral prices in power markets
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2292345/representing-the-effects-of-oligopolistic-competition-on-risk-neutral-prices-in-power-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2292345/representing-the-effects-of-oligopolistic-competition-on-risk-neutral-prices-in-power-marketsMon, 30 Sep 2013 12:08:00 +0100Equilibrium forward risk premiums in electricity markets
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2292338/equilibrium-forward-risk-premiums-in-electricity-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2292338/equilibrium-forward-risk-premiums-in-electricity-marketsMon, 30 Sep 2013 12:01:00 +0100Valuation of power swing options
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2292337/valuation-of-power-swing-options
http://www.risk.net/journal-of-energy-markets/technical-paper/2292337/valuation-of-power-swing-optionsMon, 30 Sep 2013 11:55:00 +0100Predicting realized volatility for Nord Pool forward prices by including volatility spillover and covariance effects
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2292333/predicting-realized-volatility-for-nord-pool-forward-prices-by-including-volatility-spillover-and-covariance-effects
http://www.risk.net/journal-of-energy-markets/technical-paper/2292333/predicting-realized-volatility-for-nord-pool-forward-prices-by-including-volatility-spillover-and-covariance-effectsMon, 30 Sep 2013 11:49:00 +0100The Journal of Energy Markets (6.3 - 2013)
<p></p>
<p><!-- subheading --> Volume 6, Issue 3, 2013 <!-- end-subheading --> <!-- summary --> Pricing electricity contracts is technically challenging, but it is a task of increasing importance as the sophistication of power trading develops. Power markets are becoming more and more financial in character, but they have their own idiosyncratic features that preclude the simple translation of models from asset pricing. Risk management is now more crucial and forward contracts need to match spot price characteristics, the market prices of risk and the corporate circumstances of traders. Furthermore, there is value in the electricity products themselves. However, specifying the required models is not straightforward. The four papers in this issue all address crucial aspects of this challenge... <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2292327/latest-issue-volume-6-number-3-fall-2013
http://www.risk.net/journal-of-energy-markets/journal/2292327/latest-issue-volume-6-number-3-fall-2013Mon, 30 Sep 2013 11:40:00 +0100Modeling electricity price events as point processes
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275818/modeling-electricity-price-events-as-point-processes
http://www.risk.net/journal-of-energy-markets/technical-paper/2275818/modeling-electricity-price-events-as-point-processesThu, 27 Jun 2013 16:26:00 +0100An equilibrium analysis of third-party access to natural gas storage
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275815/an-equilibrium-analysis-of-thirdparty-access-to-natural-gas-storage
http://www.risk.net/journal-of-energy-markets/technical-paper/2275815/an-equilibrium-analysis-of-thirdparty-access-to-natural-gas-storageThu, 27 Jun 2013 16:19:00 +0100Testing the martingale difference hypothesis for the Nordic power derivatives market
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275809/testing-the-martingale-difference-hypothesis-for-the-nordic-power-derivatives-market
http://www.risk.net/journal-of-energy-markets/technical-paper/2275809/testing-the-martingale-difference-hypothesis-for-the-nordic-power-derivatives-marketThu, 27 Jun 2013 16:10:00 +0100A radial basis function approach to gas storage valuation
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275797/a-radial-basis-function-approach-to-gas-storage-valuation
http://www.risk.net/journal-of-energy-markets/technical-paper/2275797/a-radial-basis-function-approach-to-gas-storage-valuationThu, 27 Jun 2013 15:57:00 +0100The link between jet fuel prices, carbon credits and airline firm value
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275803/the-link-between-jet-fuel-prices-carbon-credits-and-airline-firm-value
http://www.risk.net/journal-of-energy-markets/technical-paper/2275803/the-link-between-jet-fuel-prices-carbon-credits-and-airline-firm-valueThu, 27 Jun 2013 15:57:00 +0100The fundamental and speculative components of the oil spot price: a real option value approach
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2275786/the-fundamental-and-speculative-components-of-the-oil-spot-price-a-real-option-value-approach
http://www.risk.net/journal-of-energy-markets/technical-paper/2275786/the-fundamental-and-speculative-components-of-the-oil-spot-price-a-real-option-value-approachThu, 27 Jun 2013 15:27:00 +0100(Special Issue): Volume 6/Number 2, Summer 2013
<p></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2275782/-special-issue-volume-6-number-2-summer-2013
http://www.risk.net/journal-of-energy-markets/journal/2275782/-special-issue-volume-6-number-2-summer-2013Thu, 27 Jun 2013 15:21:00 +0100Variance and volatility swaps in energy markets
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2253341/variance-and-volatility-swaps-in-energy-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2253341/variance-and-volatility-swaps-in-energy-marketsWed, 27 Mar 2013 17:29:00 +0000Quantifying natural gas storage optionality: a two-factor tree model
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2253339/quantifying-natural-gas-storage-optionality-a-twofactor-tree-model
http://www.risk.net/journal-of-energy-markets/technical-paper/2253339/quantifying-natural-gas-storage-optionality-a-twofactor-tree-modelWed, 27 Mar 2013 17:23:00 +0000Practical stochastic modeling of electricity prices
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2253332/practical-stochastic-modeling-of-electricity-prices
http://www.risk.net/journal-of-energy-markets/technical-paper/2253332/practical-stochastic-modeling-of-electricity-pricesWed, 27 Mar 2013 17:14:00 +0000The US oil spot market: a deterministic chaotic process or a stochastic process?
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2253329/the-us-oil-spot-market-a-deterministic-chaotic-process-or-a-stochastic-process
http://www.risk.net/journal-of-energy-markets/technical-paper/2253329/the-us-oil-spot-market-a-deterministic-chaotic-process-or-a-stochastic-processWed, 27 Mar 2013 17:06:00 +0000Volume 6/Number 1, Spring 2013
<p></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2253313/volume-6-number-1-spring-2013
http://www.risk.net/journal-of-energy-markets/journal/2253313/volume-6-number-1-spring-2013Wed, 27 Mar 2013 16:42:00 +0000Modeling dependence of extreme events in energy markets using tail copulas
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2223539/modeling-dependence-of-extreme-events-in-energy-markets-using-tail-copulas
http://www.risk.net/journal-of-energy-markets/technical-paper/2223539/modeling-dependence-of-extreme-events-in-energy-markets-using-tail-copulasTue, 18 Dec 2012 17:15:00 +0000A note on panel hourly electricity prices
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2223537/a-note-on-panel-hourly-electricity-prices
http://www.risk.net/journal-of-energy-markets/technical-paper/2223537/a-note-on-panel-hourly-electricity-pricesTue, 18 Dec 2012 17:07:00 +0000Estimating a Lévy multifactor market model for electricity futures markets by using independent component analysis
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2223526/estimating-a-levy-multifactor-market-model-for-electricity-futures-markets-by-using-independent-component-analysis
http://www.risk.net/journal-of-energy-markets/technical-paper/2223526/estimating-a-levy-multifactor-market-model-for-electricity-futures-markets-by-using-independent-component-analysisTue, 18 Dec 2012 16:59:00 +0000Computation of Greeks in multifactor models with applications to power and commodity markets
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2223524/computation-of-greeks-in-multifactor-models-with-applications-to-power-and-commodity-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2223524/computation-of-greeks-in-multifactor-models-with-applications-to-power-and-commodity-marketsTue, 18 Dec 2012 16:50:00 +0000Volume 5/Number 4, Winter 2012/13
<p></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2223521/volume-5-number-4-winter-2012-13
http://www.risk.net/journal-of-energy-markets/journal/2223521/volume-5-number-4-winter-2012-13Tue, 18 Dec 2012 16:39:00 +0000Forecasting transmission congestion
<p></p>
<p><!-- subheading --> <!-- end-subheading --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2197368/forecasting-transmission-congestion
http://www.risk.net/journal-of-energy-markets/technical-paper/2197368/forecasting-transmission-congestionFri, 31 Aug 2012 09:14:00 +0100