Articles by Antony Frank Ware
Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
With a focus on price–storage dynamics in natural gas markets, the authors propose a stochastic path-dependent volatility model with path dependence in both price volatility and storage increments
Modeling Alberta power prices through fundamentals
The authors of this paper model medium- and long-term Alberta power prices by identifying the primary price drivers and characterizing their dynamics in an engineering-based bottom-up model.