Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically. The conjunction of these developments has led some observers to argue that financial speculation caused the run-up in oil...

The liberalisation of energy markets entails the appearance of market risks which must be borne by market participants: producers, retailers, and final consumers. Some of these risks can be managed by participating in the forward markets and transferring it to other agents who are willing to...

Increasing interconnectivity between electricity wholesale markets requires an efficient allocation scheme in order to provide access to scarce cross-border transmission capacities. The explicit schemes have primarily induced economically inefficient interconnector use given that flows have to...

In order to increase overall transparency on key operational information, power transmission system operators publish an increasing amount of fundamental data, including forecasts of electricity demand and available capacity. We develop a fundamental model for electricity prices which lends...

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity futures market are discernible. Using data from October...

The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be integrated to valuate commodity derivatives. This incorporation can be done in addition to usual factors: market prices of risk (Casassus and Collin-Dufresne, 2005) and/or...

The design of wholesale electricity markets in the transition towards liberalization presents significant differences from country to country. Some spot markets have imposed the concentration of transactions to ensure market liquidity. Other markets are based on bilateral trading. The debate...