Technical papers / Energy Risk
Realistic models not necessarily a prerequisite for successful risk management
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
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More Technical papers / Energy Risk articles
Applying kriging to extract smooth curves from energy futures prices
Flexible, martingale duality-based method provides reliable valuation
Tracking performance of ETFs is examined, with a focus on volatility decay
Liquidity plays a vastly underappreciated role in commodity markets
Spread option pricing: importance of forex risk factors illustrated
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest meth...
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderou...
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, ...
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using emp...
Expected payoff maximisation is a commonly assumed strategy in valuation. S Hossein Hosseini, Qiaoyan Bian, Jay Chen and John Jiang suggest that execution strategies may vary due to complex option s...
Venturing beyond historical VAR
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy ...
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Marketing of renewable energy - The German market: a case study
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