Energy Derivatives: Pricing and Risk Management

By L. Clewlow, C. Strickland. 2000

539 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7584103922ec39d99310ee9cf4fca1d2010ab1b0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Scenario reduction and scenario tree construction for power management problems (2003, unknown): “, in [3], [10], [11], [21], [23].”
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (2005, background): “This process was suggested by Schwartz [8] as a reasonable model for the spot price evolution of commodities, like gold or coffee, and energies, like oil, gas, and electricity (see also Clewlow and Strickland [2] or Pilipovic [6]), but could also be a model for the price of a bond or the interest-ra”
Modeling electricity prices: jump diffusion and regime switching (2004, unknown): “Putting all the facts together, the jump diffusion model of Weron et al. [8] has the following form: dt = Jtdqt +Xt or Pt = st + St + e Jtdqt+Xt , (3) where Xt is defined by eqn.”
Modelling Electricity Prices: International Evidence (2002, unknown): “In spite of the advantages of introducing jumps in the model there are some 3 A formal econometric analysis will be done in section 5. limitations in modelling electricity prices by jump-diffusion processes (see e.g. Pirrong and Jermakyan 1999 and Clewlow and Strickland 2000).”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, background): “An extensive discussion of VaR use in traditional financial markets can be found in Dowd (1998), Duffie and Pan (1997), Jorion (2000), Holton (2003) and Manganelli and Engle (2004), whilst energy VaR is detailed in Clewlow and Strickland (2000) and Eydeland and Wolyniec (2003). The conventional appr”
Spot and Derivative Pricing in the EEX Power Market (2007, methodology): “Clewlow and Strickland (2000) suggest three standard deviation as the limit.”
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, methodology): “…known as the ‘recursive filter’ technique, where prices corresponding to the price increments or returns exceeding three standard deviations of all returns are removed one by one in an iterative procedure (Cartea and Figueroa, 2005; Clewlow and Strickland, 2000; Weron et al., 2004b; Weron, 2008).”
A spot market model for pricing derivatives in electricity markets (2004, unknown): “Ideas from the Heath-Jarrow-Morton theory for interest rates ([17]) are used in [6], [7], [23] and [27] to model the dynamics of the whole futures price curve.”
Correlation in Energy Markets (2017, methodology): “The HJM approach was proposed to model energy futures by Clewlow and Strickland (2000), and later investigated in detail by Benth and Koekebakker (2008) (see also Benth, Benth, and Koekebakker (2008) and Miltersen and Schwartz (1998)).”