In this paper I attempt to estimate the risk premiums in energy markets using the closing prices from futures and options contracts of natural gas. Solving for

We propose an approach to estimate and explain the risk premium in carbon and energy futures markets. First, we develop a parsimonious and robust state space mo

Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy

This paper has developed an estimator for a country's market risk premium that involves optimally combining an estimate based upon only local historical data ov

Mathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practi