UK gas markets : the market price of risk and applications to multiple interruptible supply contracts

Publication:
UK gas markets : the market price of risk and applications to multiple interruptible supply contracts

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Cartea, Álvaro
dc.contributor.author	Williams, Thomas
dc.date.accessioned	2011-09-20T18:10:12Z
dc.date.available	2011-09-20T18:10:12Z
dc.date.issued	2007-03-05
dc.description.abstract	We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally, we illustrate an application of the model by pricing interruptible supply contracts that are currently traded in the UK
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/12124
dc.language.iso	eng
dc.relation.hasversion	http://hdl.handle.net/10016/12175
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa
dc.subject.jel	G12
dc.subject.jel	C61
dc.subject.other	Interruptible supply contracts
dc.subject.other	Gas markets
dc.subject.other	Commodities
dc.subject.other	Market price of short-term and long-term risk
dc.subject.other	Multi-exercise Bermudan options
dc.subject.other	Convenience yield
dc.title	UK gas markets : the market price of risk and applications to multiple interruptible supply contracts
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication