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Testing the martingale difference hypothesis for the Nordic power derivatives market 北欧电力衍生品市场的鞅差异假设检验
The Journal of Energy Markets Pub Date : 2013-06-01 DOI: 10.21314/JEM.2013.091
Steinar Veka
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引用次数: 4
The link between jet fuel prices, carbon credits and airline firm value 航空燃油价格、碳信用额度和航空公司价值之间的联系
The Journal of Energy Markets Pub Date : 2013-06-01 DOI: 10.21314/JEM.2013.090
Finbarr Murphy, Na Li, Bernard Murphy, M. Cummins
{"title":"The link between jet fuel prices, carbon credits and airline firm value","authors":"Finbarr Murphy, Na Li, Bernard Murphy, M. Cummins","doi":"10.21314/JEM.2013.090","DOIUrl":"https://doi.org/10.21314/JEM.2013.090","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121796637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
A radial basis function approach to gas storage valuation 基于径向基函数的储气库评价方法
The Journal of Energy Markets Pub Date : 2013-06-01 DOI: 10.21314/JEM.2013.089
Denis Mazières, Alexander Boogert
{"title":"A radial basis function approach to gas storage valuation","authors":"Denis Mazières, Alexander Boogert","doi":"10.21314/JEM.2013.089","DOIUrl":"https://doi.org/10.21314/JEM.2013.089","url":null,"abstract":"We introduce two new regression methods (Radial Basis Function and Tensor of Radial Basis Function) to the Least-Squares Monte Carlo (LSMC) method in the context of gas storage valuation with the spot approach. Further, we propose a new methodology which combines two existing ones in the spot approach: it combines discretisation of volume with multivariate regressions. Our numerical examples show that these new valuation methods match and frequently manage to exceed the value of our benchmark. We also nd that the valuation su ers in the case where insu cient points are placed near the volume boundaries. We expect that our new methodology in combination with the two new regression methods will prove bene cial to solve valuation problems with several price factors and volume levels in the future.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131931604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Variance and volatility swaps in energy markets 能源市场的方差和波动性互换
The Journal of Energy Markets Pub Date : 2013-03-07 DOI: 10.1142/9789814440134_0017
M. Hodge
{"title":"Variance and volatility swaps in energy markets","authors":"M. Hodge","doi":"10.1142/9789814440134_0017","DOIUrl":"https://doi.org/10.1142/9789814440134_0017","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131615891","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The US oil spot market: a deterministic chaotic process or a stochastic process? 美国石油现货市场:一个确定性的混沌过程还是一个随机过程?
The Journal of Energy Markets Pub Date : 2013-03-01 DOI: 10.21314/JEM.2013.084
I. Dakhlaoui, C. Aloui
{"title":"The US oil spot market: a deterministic chaotic process or a stochastic process?","authors":"I. Dakhlaoui, C. Aloui","doi":"10.21314/JEM.2013.084","DOIUrl":"https://doi.org/10.21314/JEM.2013.084","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129934808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Quantifying Natural Gas Storage Optionality: A Two-Factor Tree Model 量化天然气储存可选性:一个双因素树模型
The Journal of Energy Markets Pub Date : 2013-03-01 DOI: 10.21314/JEM.2013.087
Cliff Parsons
{"title":"Quantifying Natural Gas Storage Optionality: A Two-Factor Tree Model","authors":"Cliff Parsons","doi":"10.21314/JEM.2013.087","DOIUrl":"https://doi.org/10.21314/JEM.2013.087","url":null,"abstract":"We find evidence of strong mean-reversion in U.S. natural gas prices and proceed to test a valuation model of natural gas storage leases based on mean-reversion’s eects. The model utilizes a two-factor tree in which both factors mean-revert, and the model calibrates to current market conditions, accounts for volume constraints, and can be applied to historical data. In applying the model to data on U.S. natural gas, we find that the model can consistently capture large amounts of optionality based on the premise of strongly mean-reverting prices: On historical price data spanning 1999 to 2006, simulated trading using our model obtained average values (not including the cost of the lease) of $1.244 per million British-thermal-units over intrinsic value for fastcycle storage leases and $0.397 per million British-thermal-units over intrinsic for slow-cycle leases. Results relating stored inventory to storage lease optionality are also shown.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128353133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
A note on panel hourly electricity prices 关于面板每小时电价的说明
The Journal of Energy Markets Pub Date : 2012-12-01 DOI: 10.21314/JEM.2012.082
J. Peña
{"title":"A note on panel hourly electricity prices","authors":"J. Peña","doi":"10.21314/JEM.2012.082","DOIUrl":"https://doi.org/10.21314/JEM.2012.082","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"126 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122755915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Estimating a Lévy multifactor market model for electricity futures markets by using independent component analysis 用独立分量分析估计电力期货市场的l<s:1>多因素市场模型
The Journal of Energy Markets Pub Date : 2012-12-01 DOI: 10.21314/JEM.2012.081
Giuseppe Di Poto, Enzo Fanone
{"title":"Estimating a Lévy multifactor market model for electricity futures markets by using independent component analysis","authors":"Giuseppe Di Poto, Enzo Fanone","doi":"10.21314/JEM.2012.081","DOIUrl":"https://doi.org/10.21314/JEM.2012.081","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130008101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Modelling dependence of extreme events in energy markets using tail copulas 能源市场极端事件依赖性的尾联模型
The Journal of Energy Markets Pub Date : 2012-12-01 DOI: 10.17877/DE290R-6612
S. Jäschke, K. Siburg, Pavel A. Stoimenov
{"title":"Modelling dependence of extreme events in energy markets using tail copulas","authors":"S. Jäschke, K. Siburg, Pavel A. Stoimenov","doi":"10.17877/DE290R-6612","DOIUrl":"https://doi.org/10.17877/DE290R-6612","url":null,"abstract":"This paper studies, for the first time, the dependence of extreme events in energy markets. Based on a large data set comprising quotes of crude oil and natural gas futures, we estimate and model large co-movements of commodity returns. To detect the presence of tail dependence we apply a new method based on the concept of tail copulas which accounts for different scenarios of joint extreme outcomes. Moreover, we show that the common practice to fit copulas to the data cannot capture the dynamics in the tail of the joint distribution and, therefore, is unsuitable for risk management purposes.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131224583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
COMPUTATION OF GREEKS IN MULTI-FACTOR MODELS WITH APPLICATIONS TO POWER AND COMMODITY MARKETS 在电力和商品市场应用的多因素模型中希腊的计算
The Journal of Energy Markets Pub Date : 2012-12-01 DOI: 10.21314/JEM.2012.080
F. Benth, G. Nunno, A. Khedher
{"title":"COMPUTATION OF GREEKS IN MULTI-FACTOR MODELS WITH APPLICATIONS TO POWER AND COMMODITY MARKETS","authors":"F. Benth, G. Nunno, A. Khedher","doi":"10.21314/JEM.2012.080","DOIUrl":"https://doi.org/10.21314/JEM.2012.080","url":null,"abstract":"We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is enough to derive expressions for the Greeks not involving any differentiation of the payoff function. Several examples are given in applications to power and commodity markets, including numerical examples.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121052047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
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