Search results for "Energy price"

showing 3 items of 3 documents

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

2010

Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …

Economics and EconometricsComputer scienceMonte Carlo methodTemperature levelBivariate analysisEnergy priceDynamic modelMicroeconomicsEconomicsEconometricsweather derivatives Quanto options pricing derivative pricing model simulation and forecast.Time seriesQuanto options; Temperature level; Energy price; Dynamic modelMonte Carlo methods for option pricingjel:C53Quanto optionsjel:C51Energy consumptionVariance (accounting)jel:C32Quantojel:G13weather derivatives; Quanto options pricing; derivative pricing; model simulation; forecastjel:L94jel:G17General Energyjel:Q54Binomial options pricing modelVolatility (finance)Futures contract
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Energy inflation and consumption inequality

2023

This paper examines the effects of higher energy prices on consumption inequality for a large panel of 129 advanced and developing economies during the period 1970–2013. The results suggest that energy inflation increases the Gini measure of consumption inequality and reduces (increases) the share of consumption of lower (higher) income deciles. These effects are larger in developing economies, in countries with limited access to finance, in those with weaker monetary policy frameworks, during periods of economic slack and in cases where government transfers do not compensate the poorer deciles during times of adverse income shocks.

HouseholdsInequalityEnergy inflationEnergy price
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Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS

2010

The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions. In a first step we have performed Granger causality tests for Phase I of the EU ETS (January 2005 until December 2007) and the first year of Phase II of the EU ETS (2008). The analysis includes both spot and forward markets—given the close interactions between the two sets of markets. The results show that during Phase I coal and gas prices, through the clean dark and spark spread, impacted CO2 futures prices, which in return Granger caused electricity prices. During the first year of the Phase II, the sho…

business.industryFinancial economicsManagement Monitoring Policy and Lawjel:G13General EnergyQuantitative analysis (finance)Granger causalityCO2 futures; Energy prices; Granger causality;Spark spreadEconomicsEconometricsmedia_common.cataloged_instanceCoalEmissions tradingElectricityEuropean unionbusinessFutures contractjel:Q49media_commonEnergy Policy
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