This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.
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...
Applied risk management series – article two
An introduction to energy spot price processes
Long-term price risk management deals are becoming more popular with utilities and regulators as a way to lock in low natural gas prices
Trust is good, control is better – Complex model validation
Carbon derivatives pricing: an arbitrageable market
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.
Portfolio-wide risk management requires a model that accounts correctly for correlations between the spot asset and various futures products. Kjetil Kåresen and Egil Husby discuss a joint multi-factor model for power spot and futures prices and show...