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‘Maximal’ Affine Model of Convenience Yields Implied from Interest Rates and Commodity Futures, Jaime Casassus, Pierre Collin-Dufrense, December 11, 2002
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Valuation and Optimal Interruption for Interruptible Electricity Contracts, Ross Baldick. Sergey Kolos. Stathis Tompaidis
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Constructing Forward Price Curves in Electricity Markets, Stein-Erik Fletena, Jacob Lemmingb
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Valuation of Commodity-Based Swing Options, Patrick Jaillet, Ehud I. Ronn, Stathis Tompaidis, Management Science, December 2003.
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Energy Futures Prices: Term Structure Models with Kalman Filter Estimation
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An Empirical Examination of Deregulated Electricity Prices, Christopher R. Knittel and Michael R. Roberts, October 30, 2001
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A Discrete Valuation of Swing Options, ALI LARI-LAVASSANI, MOHAMADREZA SIMCHI, AND ANTONY WARE
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On Transition Probabilities of Regime Switching in Electricity Prices, Takashi Kanamura and Kazuhiko Ohashi, December 20, 2004
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A Structural Model for Electricity Prices with Spikes Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation, Takashi Kanamura, Kazuhiko Ohashi, July 12, 2004
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Understanding the Fine Structure of Electricity Prices, Hélyette Geman, Andrea Roncoroni
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Security Tokens and Their Derivatives, Kanta Matsuura, February 2001
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Pricing Power Derivatives: a Two-Factor Jump-Diffusion Approach, Pablo Villaplana, Universitat Pompeu Fabra, Department of Economics and Business
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