Pricing contingent claims on power presents numerous challenges due to (1) the nonlinearity of power price processes, and (2) time-dependent variations in prices. We propose and implement an equilibrium model in which the spot price of power is a function of two state variables: demand (load or...

Although there has been extensive research on the economic functions of financial exchanges and the properties of prices determined on exchanges, there has been little research on their organization and governance. The heterogeneity of the suppliers of financial services who are members of...

Theory predicts that liquidity considerations make financial markets quot;tippyquot;. In 1998, trading on Bund futures tipped from LIFFE (an open outcry exchange) to Eurex (an electronic market). Measures of spreads on LIFFE and Eurex did not change markedly in the eighteen month period over...

Commodity exchanges historically have served as private organizations that govern contractual relations between market participants. Their functions have included commodity measurement, contract enforcement, the policing of theft and fraud, and the mitigation of information asymmetries. In...