NUEVO: Riders on the storm: measuring and managing nonmarket risks

201412 – I+D – Stress Test EIOPA

Electricity prices & Power derivatives (Lucía – Schartz Jun 2000)

Pricing modelling and managing energy derivatives (Positron energy consulting)

Practical technique to price exotic energy options (Dr. Chris Strickland)

Application of new modelling techniques for pricing energy derivatives products (Dr. Chris Strickland)

Valuation of risk management of Fuel Supply Agreements and Power Station Based Contracts (Dr. Chris Strickland)

Harvard electricity Policy Group. Market Power and Market Makers (Richard A. Shilts)

The Challenges of Pricing and Risk Management of Energy derivatives (Les Clelow)

Comportamiento del precio y volatilidad en el pool eléctrico español (Angel León – Antonio Rubia)

El precio en el mercado español de electricidad (Miguel A. Lasheras)

Una simulación del funcionamiento del pool de energía eléctrica en España (Carlos Ocaña – Arturo Romero)

Revisión de modelos de casación de ofertas para mercados eléctricos (Rivier – Vázquez – Pérez Arriaga)

Risk analysis of swing contracts (Clelow – Strickland – Kaminski)

Don’t ignore the spikes (Robert Ethier – Gary Dorris)

Forward price and volatility curves, mean reversion jump parameters and seasonal profiles. (Jun 2001. Lasheras – Blanco – Martínez)

Extending mean reversion, jump diffusion (2000. Clelow – Strickland – Kaminski)

Making the most of mean reversion (2000. Clelow – Strickland – Kaminski)

Which VaR for energy derivatives? (2000. Clelow – Strickland – Kaminski)

Valuing energy options ina one factor model fitted to forward prices (Apr 1999 Clelow – Strickalnd)