The markets for electricity, gas and temperature have distinctive features, which provide the
focus for countless studies. For instance, electricity and gas prices may soar several …

This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the investor’s …

We discuss the modeling of electricity contracts traded in many deregulated power markets.
These forward/futures type contracts deliver (either physically or financially) electricity over a …

The forward curve dynamics in the Nordic electricity market is examined. Six years of price
data on futures and forward contracts traded in the Nordic electricity market are analysed. For …

This paper analyzes the weather derivatives traded at the Chicago Mercantile Exchange (CME),
with futures and options written on different temperature indices. We propose to model …

This paper derives a real options model of flexibility and applies it to shipping, valuing the
option to switch between the dry bulk market and wet bulk market for a combination carrier, a …

Despite the illiquid and heterogeneous nature of the second-hand market for bulk ships and
the resulting difficulty of creating reliable time series of ship prices for generic ships, the …

In the recent literature, empirical tests of stationarity of freight rates often conclude that spot
freight rates are non-stationary processes. However, many maritime economists would argue …

In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such contracts …

Evidence suggests that agricultural futures price movements have fat‐tailed distributions
and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of …