In the second article of this series, Carlos Blanco and Michael Pierce introduce the most common multi-factor models of the forward curve used for energy derivatives pricing and risk measurement
Choosing the appropriate process for modelling energy prices is essential for best calculating value, risk and hedging metrics for energy derivatives and assets. In this first article of a six-part series,...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Spot price articles
Over the past 20 years, financial modelling increased in complexity to better describe complex market behaviours and allow market-makers to stay competitive in a maturing world. This maturity led, for example, to the proper handling of volatility surfaces...
In carbon dioxide equilibrium models, permit prices are positive and bounded by the penalty level. To obtain closed-form solutions to the pricing of carbon dioxide derivatives, Daniel Bloch models the permit price as a function of a positive unbounded...
Industry experts are wary of European Commission proposals intended to bring additional safeguards to the spot market
Interdealer broker Icap will launch decimalised pricing on major currency pairs on EBS Spot on February 14, the broker told FX Week.
Nord Pool Spot, the exchange for physical power in the Nordic region, has recorded increased volumes on the day-ahead market, despite overall turnover being almost 30% lower in 2009 than the year before. The volume traded on Elbas, Nord Pool Spot's...
The Central European Gas Hub (CEGH) and the Vienna Stock exchange, Wiener Börse, have announced the launch of a new gas exchange. International spot trading will start immediately and there are plans for futures trading to begin in spring 2010. "The...
Abstract: Many articles have discussed constructing models for either spot or forward prices. Yet none cover the whole process of constructing a joint model for both. Here, Andreas Huber and Monika Krca develop a multi-factor model that captures...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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