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-free pricing framework for derivatives based on...

In this paper, we provide empirical evidence of the market price of risk for delivery periods (MPDP) of electricity swap contracts. The MPDP enables an accurate pricing of such contracts in the presence of the delivery period such that the typical approximations can be avoided. In our empirical...

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 electricity swaps in a geometric framework. In...

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 for power is served either by a monopoly or by...

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 for power is served either by a monopoly or by...

Using powerful technique of stochastic time change, we introduce a new two-factor commodity price model, where one of the fundamental factors is the activity rate. This factor implicitly introduces stochastic volatility into the model. The model is developed under both physical and risk neutral...

ABSTRACT. Using a powerful technique of stochastic time change, we introduce a new two factor commodity price model, where one of the fundamental factors is the activity rate of the stochastic clock. This factor implicitly introduces stochastic volatility into the model. The model is developed...