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pro vyhledávání: '"Kemper, Annika"'
Autor:
Kemper, Annika, Schmeck, Maren Diane
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while
Externí odkaz:
http://arxiv.org/abs/2303.12527
We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand fo
Externí odkaz:
http://arxiv.org/abs/2302.12167
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-fre
Externí odkaz:
http://arxiv.org/abs/2002.07561
Publikováno v:
In Energy Economics September 2022 113
Autor:
Kemper, Annika, Schmeck, Maren Diane
In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::665de5ad08c198b22e73016b4b5da6e4
http://arxiv.org/abs/2303.12527
http://arxiv.org/abs/2303.12527
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