A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

Peter Hennicke, Kora Kristof, Thomas Götz (Hrsg.) Aus weniger mehr machen Strategien für eine nachhaltige Ressourcenpolitik in Deutschland B 377600 Inhaltsverzeichnis Peter Hennicke, Kora Kristof, Thomas Götz Vorwort ...

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

Using a detailed data set of electricity forward prices in Central Europe, we compute the intra-day risk premium and market price of risk for the two electricity exchanges European Energy Exchange (EEX) and Energy Exchange Austria (EXAA). Given the significant volatility and jump risk of...