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Capacity and renewables schemes deterring investment, say panel participants
Long-dated natural gas and power markets hit especially hard, conference told
Schemes pose threat to electricity markets and integration, firms say
Energy Risk looks at the development of the market and what may lie ahead
Pricing and hedging multiasset spread options using a three-dimensional Fourier cosine series expansion method
The aim of this paper is to show the benefit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multiasset spread options.
Exchange rates, oil prices and electricity spot prices: empirical insights from European Union markets
This study investigates the relationship between daily electricity spot price returns and both the crude oil spot price return (in US dollars) and the exchange rate return in six European countries (France, Germany, Italy, the Netherlands, Spain and the...
This paper proves that the prices of options on forwards in commodity markets converge to the Black-76 formula when the short-term variations of the logarithmic spot price are a stationary Ornstein-Uhlenbeck process and the long-term variations are following...
Over two decades, magazine has shared in industry’s highs and lows
Jitters subside as industry ponders role of trading and mark-to-market accounting
Banks have often stepped in and out of the OTC energy derivatives market. In this article from August 2001, Energy Risk reports on banks upping their activity