This paper proposes a consistent benchmark approach to price weather derivatives. The growth optimal portfolio to price weather derivatives. The growth optimal portfolio is used as numeraire such that all benchmarked fair price processes are martingales. No measure transformation is needed for...

This paper proposes an approach to the intraday analysis of the dynamics of electricity prices. The Growth Optimal Portfolio (GOP) is used as a reference unit in a continuous financial electricity price model. A diversified global portfolio in the form of a market capitalisation weighted index...

This study advances the research on the convenience yield of bulk commodities with particular emphasis on thermal coal. We extend the option model of Milonas and Thomadakis (1997) to estimate thermal coal convenience yields using forward prices. We examine the business cycle of thermal coal in...

This paper examines the structural components that characterize the price behavior and perceived arbitrage of the global thermal coal market. Index coal prices plus freight costs to India favor imports of Indonesian thermal coal however significant volumes are also imported from South Africa and...

Building an effective air quality management system (AQMS) requires a process of continual improvement, and the source apportionment techniques described in this report can contribute in a cost effective manner to improving existing systems or even as the first step to begin an AQMS. This is...