In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Technical papers/Derivatives articles
The vanna-volga method is a popular approach for constructing implied volatility curves in the options market. In this article, Antonio Castagna and Fabio Mercurio give it both theoretical and practical support by showing its tractability and robustness...
Navneet Arora and Shisheng Qu show that credit VAR in commodity trading is affected not only by the inherent credit risks of counterparties, but also by various correlations among counterparties and between counterparties and commodity prices
Il prezzo di un derivato basato su CMS (constant maturity swap) è ampiamente determinato dal valore delle volatilità nella swaption per strike estremi. Nel presente articolo, Fabio Mercurio e Andrea Pallavicini propongono una procedura semplice per...
Die Sattelpunktmethode hat sich als Instrument für die Portfolioanalyse etabliert. Im vorliegenden Artikel gehen Richard Martin und Roland Ordovás die wichtigsten Konzepte durch und zeigen, dass es für die Anwendung dieser Methode auf Modelle bedingter...
Richard Martin describes the application of saddlepoint methods to the calculation of tranche payouts and expected shortfall in loss distributions. Aside from computational use in their own right, the resulting formulas motivate a forthcoming discussion...
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
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