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    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 Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 28 Mar 2019 07:05
    Last Modified: 26 Jul 2019 20:57
    URI: http://eprints.bbk.ac.uk/id/eprint/26935

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