Keywords:
Published in:
Publication year: 1999
Co-Author 1: Chris Strickland

In this paper we develop a single-factor modeling framework which is consistent with market observable forward prices and volatilities. The model is a special case of the multi-factor model developed in Clewlow and Strickland [1999b] and leads to analytical pricing formula for standard options, caps, floors, collars and swaptions. We also show how American style and exotic energy derivatives can be priced using trinomial trees, which are constructed to be consistent with the forward curve and volatility structure. We demonstrate the application of the trinomial tree to the pricing of a European and American Asian option. The analysis in this paper extends the results in Schwartz [1997] and Amin, et al. [1995].

Keywords:
Published in:
Puclication year: 2000
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski

Value-at-Risk (VaR) is a widely relied upon method of calculating risk in the energy industry. But which approach is the most accurate?

Keywords:
Published in:
Publication year: 2000
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski

Adapting and estimating a version of the mean-reversion model for energy markets

Keywords:
Published in: Energy Risk Production 
Publication year: 2000
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski 

EPRM presents a method of modelling and estimating jumps in energy prices

Keywords:
Published in: Energy risk
Publication year: 2005
Co-author 1: Chris Strickland
Co-author 2: Oleg Zakharov
Co-author 3: Geoff Carroll

In this latest article of our series on practical applications of Monte Carlo simulation we focus on the valuation issues associated with a physical asset, namely a merchant power plant. Typically these assets are valued on a simple net present value basis with respect to a static forward, or forecast, curve. The analysis that will be employed here takes into account both the stochastic nature of the fuel and output prices and also the physical constraints associated with operating the plant. This methodology is often termed “real options theory” and is an increasingly popular tool for valuing physical assets.

Keywords:
Published in: Energy Risk
Publication year:
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski

Simulating spot price processes for pricing energy derivatives

Keywords:
Published in: Energy Risk
Publication year:
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski

Simulating mean reversion jump diffusion spot price processes for pricing energy derivatives.

Keywords:
Published in: Energy Risk
Publication year:
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski

A strategy for producing analytical pricing methods for energy derivatives