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Multifactor valuation models of energy futures and options on futures.
(2003)
The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts ...
Intra- and inter-commodity price relationships in electricity and natural gas spot and futures markets.
(2001)
Essay 2 examines why electricity futures contracts are failing despite apparent need for hedging instruments. Consistent with my hypothesis, empirical results find that the hedging protection provided by electricity futures ...
Electric utility deregulation: The case of stranded costs.
(2002)
My dissertation focuses on electric utility deregulation and certain costs that may become unrecoverable (stranded) in a deregulated market. Recent federal and state deregulation has increased competition in the electricity ...