The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are concerned with describing the joint return...

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. Although this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this study we are concerned with describing the joint return...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this remium is an...

This paper examines the empirical properties of hedge fund returns and proposes a fully parametric model capable of adequately describing both univariate and multivariate return properties. The suggested model is based on the multivariate extension of the Normal Inverse Gaussian (NIG)...

The valuation of options embedded in insurance contracts using concepts from financial mathematics (in particular, from option pricing theory), typically referred to as fair valuation, has recently attracted considerable interest in academia as well as among practitioners. The aim of this...

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. Although this is a well‐discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this study we are concerned with describing the joint...

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...

We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process. The first model, called the jump-diffusion model, was proposed by Cartea and Figueroa (2005), and is a one-factor mean-reversion jump-diffusion model, adjusted to incorporate...