Cutting edge - Option pricing
Der Neueste Stand
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer
Cutting Edge: Foreign exchange
John Jiang and Hanjie Chen propose a generic concept ofelectricity-backed security, which provides an additionalfunding method to utilities with poorer credit ratings,and a new asset class to investors
Introducing the concept of the intrinsic value of a currency, Paul Doust shows how to use foreign exchange market volatilities to calculate the volatilities of intrinsic currency values and the correlations between them
This article examines the long-term relationship between natural gas and propane futures. Using a technique known as 'frac' spread trading, Mbodja Mougoué and Steven Slack illustrate the opportunities that can occur from using the price fluctuations...
Der Neueste Stand. Kreditportfoliorisiken
Approfondimenti. Volatilità implicita
Market risk for a real option asset can be effectively managed using a spread option model. Raymond Cheng and Walt Tyrrell demonstrate the enhanced risk-adjusted performance of optional refinery capacity with a historical back test
Cutting Edge: Liability management
Cutting edge: Exotic options
In this article Andrew Klingler takes a closer look at the residual risk when a load-serving contract is hedged with forwards. The residual risk components are described quantitatively and a formula for the minimum variance hedge is outlined
Bank of Ireland's Isle of Man operation has recently celebrated its 25th anniversary on the island with the launch of the sterling-denominated Silver Anniversary Bond. The product was also made available via the Isle of Man local post offices as the Global...
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not...
Hanjie Chen and John N. Jiang discuss how system-wide load-capacity ratio and system-wide generation forced outages impact day-ahead electricity spot price and show how to incorporate these two key factors in the price modelling