Due to its non-storable nature, electricity is a commodity with probably the most volatile spot
prices, exemplified by occasional spikes. Appropriate pricing, portfolio, and risk …

Developed countries increasingly rely on gas storage for security of supply. Widespread
deregulation has created markets that help assign an objective value to existing and new to …

In this paper we show how cointegration can be applied to capture the joint dynamics of
multiple energy spot prices. For an example system we study the Title Transfer Facility, the …

Electricity prices are known to be very volatile and subject to frequent jumps due to system
breakdown, demand shocks, and inelastic supply. Appropriate pricing, portfolio, and risk …

We use an economic experiment to examine the implications of asymmetric information for
linkages between a stock and a traded option. We find the presence of the option splits price …

In this paper we discuss an extension to a popular gas storage valuation method called the
spot approach. Least-Squares Monte Carlo, which is the basis for the spot approach, allows …

Traditional net present value (NPV) analysis disregards the flexibility to adjust production
decisions to market developments, and thus underestimate true plant value. On the other hand, …

We use a controlled economic experiment to examine the implications of asymmetric information
for informational linkages between a stock market and a traded call option on that stock. …

… Jong, Cyriel de … 責任表示 edited by Cyriel de Jong and Kasper Walet …

Rapidly rising demand in China and India and declining production in Europe are the
driving forces behind significant global coal market changes. These changes have sparked …