UK gas markets: the market price of risk and applications to multiple interruptible supply contracts
Cartea, Alvaro and Williams, T. (2007) UK gas markets: the market price of risk and applications to multiple interruptible supply contracts. Working Paper. Birkbeck, University of London, London, UK.
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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.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0608 |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 28 Mar 2019 07:05 |
| Last Modified: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26935 |
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