BIROn - Birkbeck Institutional Research Online

    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.

    [img]
    Preview
    Text
    26935.pdf - Draft Version

    Download (285kB) | Preview

    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

    Statistics

    Activity Overview
    6 month trend
    265Downloads
    6 month trend
    409Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item
    Edit/View Item