Technical paper
Modeling electricity prices by potential Lévy diffusions
Research Papers
The information premium for non-storable commodities
Research Papers
Cointegration between gas and power spot prices
Research Papers
Masterclass: Valuing generation assets using Monte Carlo simulation
In this Masterclass, Les Clewlow, James Lujun Liu, Doug Meador, Ron Sobey and Chris Strickland describe the use of Monte Carlo methods for valuing generation assets in more detail. In particular, they discuss the appropriate price models to use and how…