http://www.erasmusenergy.com en-us N/A dejong@kyos.com Thu, 20 Nov 2008 01:00:07 CET 20 http://www.erasmusenergy.com/articles/131/1/Electricity-forward-prices-A-High-Frequency-Empirical-Analysis/Page1.html Published in:
Publication year: 2002
Co-author 1: Ashley Wang

We conduct an empirical analysis of electricity forward prices using a highfrequency data set of hourly spot and day-ahead forward prices. We nd that there are signi cant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents.]]> no@spam.com (Francis Longstaff) Fri, 21 Dec 2007 14:17:42 CET http://www.erasmusenergy.com/articles/131/1/Electricity-forward-prices-A-High-Frequency-Empirical-Analysis/Page1.html http://www.erasmusenergy.com/articles/112/1/Valuing-American-options-by-simulation-A-simple-least-squares-approach/Page1.html Published in: The review of financial studies
Publication year: 2001
Co-author 1: Eduardo Schwartz

This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. we illustrate this technique with several realistic examples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an American swaption in a 20-factor string model of the term structure.]]> no@spam.com (Francis Longstaff) Mon, 10 Dec 2007 15:53:06 CET http://www.erasmusenergy.com/articles/112/1/Valuing-American-options-by-simulation-A-simple-least-squares-approach/Page1.html