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Reciprocal Energy-switching Options 互易能量转换选项
The Journal of Energy Markets Pub Date : 2011-03-01 DOI: 10.21314/JEM.2011.055
R. Adkins, Dean Paxson
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引用次数: 19
Robust estimation of integrated variance and quarticity under flat price and no trading bias 在均价和无交易偏差的情况下，综合方差和数量的稳健估计
The Journal of Energy Markets Pub Date : 2011-03-01 DOI: 10.21314/JEM.2011.056
Frowin C. Schulz
{"title":"Robust estimation of integrated variance and quarticity under flat price and no trading bias","authors":"Frowin C. Schulz","doi":"10.21314/JEM.2011.056","DOIUrl":"https://doi.org/10.21314/JEM.2011.056","url":null,"abstract":"This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in financial high-frequency datasets, can cause a considerable bias in each considered method. Hence, we propose an approach to robustify those methods so that they can provide undistorted statistical results based on intraday intervals not influenced by flat prices and no trading. The new approach is tested in realistic Monte Carlo experiments and shows to be extraordinary robust against varying levels of flat price and no trading bias. Additionally, we examine the new approach empirically with a dataset of electricity forward contracts traded on the Nord Pool Energy Exchange. We obtain coherent conclusions with respect to predefined qualitative indicators.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129750033","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: 4
Evaluation of static hedging strategies for hydropower producers in the Nordic market 北欧市场水电生产商静态对冲策略评价
The Journal of Energy Markets Pub Date : 2010-12-01 DOI: 10.21314/JEM.2010.050
Stein-Erik Fleten, Espen Bråthen, Sigurd-Erik Nissen-Meyer
{"title":"Evaluation of static hedging strategies for hydropower producers in the Nordic market","authors":"Stein-Erik Fleten, Espen Bråthen, Sigurd-Erik Nissen-Meyer","doi":"10.21314/JEM.2010.050","DOIUrl":"https://doi.org/10.21314/JEM.2010.050","url":null,"abstract":"In this paper we develop an optimization model to derive static hedge positions for hydropower producers with different risk characteristics. Previous research has primarily considered dynamic hedging; however, static hedging is the common choice among hydropower producers because of its simplicity. Our contribution is to evaluate such hedging out of sample. The hedging strategies we analyze include a natural hedge, which means no hedging, and output from an optimization model that we develop ourselves. The results show that, although optimized positions vary over time, hedging with use of forward contracts significantly reduces the risk in terms of value-at-risk, conditional value-at-risk and standard deviation of the revenue. Furthermore, this improvement results in only a minor reduction in mean revenue.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115645935","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
Model specification analysis in the methanol markets 甲醇市场的模型规格分析
The Journal of Energy Markets Pub Date : 2010-12-01 DOI: 10.21314/JEM.2010.048
M. Cummins, Andrea Bucca, Bernard Murphy
{"title":"Model specification analysis in the methanol markets","authors":"M. Cummins, Andrea Bucca, Bernard Murphy","doi":"10.21314/JEM.2010.048","DOIUrl":"https://doi.org/10.21314/JEM.2010.048","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"0 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121779918","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
LNGScheduler: a rich model for coordinating vessel routing, inventories and trade in the liquefied natural gas supply chain LNGScheduler:一个丰富的模型，用于协调船舶路线、库存和液化天然气供应链中的贸易
The Journal of Energy Markets Pub Date : 2010-12-01 DOI: 10.21314/JEM.2010.049
Marte Fodstad, K. Uggen, Frode Rømo, Arnt-Gunnar Lium, G. Stremersch
{"title":"LNGScheduler: a rich model for coordinating vessel routing, inventories and trade in the liquefied natural gas supply chain","authors":"Marte Fodstad, K. Uggen, Frode Rømo, Arnt-Gunnar Lium, G. Stremersch","doi":"10.21314/JEM.2010.049","DOIUrl":"https://doi.org/10.21314/JEM.2010.049","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122852837","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: 31
Pricing electricity derivatives on an hourly basis 电力衍生品按小时定价
The Journal of Energy Markets Pub Date : 2010-09-01 DOI: 10.21314/JEM.2010.044
Nicole Branger, O. Reichmann, M. Wobben
{"title":"Pricing electricity derivatives on an hourly basis","authors":"Nicole Branger, O. Reichmann, M. Wobben","doi":"10.21314/JEM.2010.044","DOIUrl":"https://doi.org/10.21314/JEM.2010.044","url":null,"abstract":"The purpose of this paper is to develop a framework for pricing electricity derivatives on an hourly basis. We do not in contrast to most current approaches focus exclusively on spot models which primarily reflect empirical spot price dynamics, but also ensure a straightforward applicability to the valuation of electricity derivatives. We show that a model with a jump and a spike component can be calibrated to both the time-series of hourly spot prices and the cross-section of futures prices, once we allow for time-dependent jump and spike parameters. Furthermore, we illustrate the importance of derivative pricing in electricity markets and present some examples of options on futures and hourly spot-options, such as operating reserves and physical transmission rights.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117302307","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: 8
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution 利用多元正态反高斯分布对电力远期价格进行建模
The Journal of Energy Markets Pub Date : 2010-09-01 DOI: 10.21314/JEM.2010.051
Arne Andresen, Steen Koekebakker, Sjur Westgaard
{"title":"Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution","authors":"Arne Andresen, Steen Koekebakker, Sjur Westgaard","doi":"10.21314/JEM.2010.051","DOIUrl":"https://doi.org/10.21314/JEM.2010.051","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129078142","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: 30
Valuation of commodity-based swing options 基于商品的波动期权估值
The Journal of Energy Markets Pub Date : 2010-09-01 DOI: 10.21314/JEM.2010.045
R. Kiesel, J. Gernhard, S. Stoll
{"title":"Valuation of commodity-based swing options","authors":"R. Kiesel, J. Gernhard, S. Stoll","doi":"10.21314/JEM.2010.045","DOIUrl":"https://doi.org/10.21314/JEM.2010.045","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"137 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130371871","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: 8
A spot price model for natural gas considering temperature as an exogenous factor and applications 考虑温度为外生因素的天然气现货价格模型及其应用
The Journal of Energy Markets Pub Date : 2010-09-01 DOI: 10.21314/JEM.2010.046
S. Stoll, Klaus Wiebauer
{"title":"A spot price model for natural gas considering temperature as an exogenous factor and applications","authors":"S. Stoll, Klaus Wiebauer","doi":"10.21314/JEM.2010.046","DOIUrl":"https://doi.org/10.21314/JEM.2010.046","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"01 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124424089","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
The real option to fuel switch in the presence of expected windfall profits under the EU Emission Trading Scheme 在欧盟排放交易计划(EU emissions Trading Scheme)下，在存在预期暴利的情况下进行燃料转换的实物期权
The Journal of Energy Markets Pub Date : 2010-06-14 DOI: 10.21314/JEM.2010.042
Luca Taschini, S. Urech
{"title":"The real option to fuel switch in the presence of expected windfall profits under the EU Emission Trading Scheme","authors":"Luca Taschini, S. Urech","doi":"10.21314/JEM.2010.042","DOIUrl":"https://doi.org/10.21314/JEM.2010.042","url":null,"abstract":"This paper develops a simple model to evaluate the value and the activation frequencies of a generation system consisting of coal-fired and a gas-fired power plants using a real options approach, and the notions of clean-spark and clean-dark spreads. Under a cap-and-trade scheme, the use of emission permits represents an opportunity cost. In the energy industry different generation technologies produce different levels of CO2 emissions and, therefore, different opportunity costs. Addressing the question of how expected windfall profits affect the profitability of a generation plant and its activation frequencies, the paper shows that conventional findings are reversed. When the opportunity cost is internalized, the rate of activation of the gas plant decreases while that of the coal plant increases.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129567744","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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