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Daniel Schwarz

  1. Electricity price modeling and asset valuation: a multi-fuel structural approach.

    Пт, 05/11/2012 - 15:01 — SomNambul
    Authors: Daniel Schwarz, Rene Carmona, Michael Coulon
    Subjects: Pricing of Securities
    Abstract

    We introduce a new and highly tractable structural model for spot and
    derivative prices in electricity markets. Using a stochastic model of the bid
    stack, we translate the demand for power and the prices of generating fuels
    into electricity spot prices. The stack structure allows for a range of
    generator efficiencies per fuel type and for the possibility of future changes
    in the merit order of the fuels.

  2. The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels.

    Пт, 05/11/2012 - 15:01 — SomNambul
    Authors: Daniel Schwarz, Rene Carmona, Michael Coulon
    Subjects: Pricing of Securities
    Abstract

    The purpose of the paper is to present a new pricing method for clean spread
    options, and to illustrate its main features on a set of numerical examples
    produced by a dedicated computer code. The novelty of the approach is embedded
    in the use of structural models as opposed to reduced-form models which fail to
    capture properly the fundamental dependencies between the economic factors
    entering the production process.

  3. Risk-Neutral Pricing of Financial Instruments in Emission Markets.

    Ср, 11/17/2010 - 16:01 — SomNambul
    Authors: Sam Howison, Daniel Schwarz
    Subjects: Pricing of Securities
    Abstract

    We present a novel approach to the pricing of financial instruments in
    emission markets, for example, the EU ETS. The proposed hybrid model is
    positioned between existing complex full equilibrium models and pure
    risk-neutral models. Using an exogenously specified demand for a polluting good
    it gives a causal explanation for the accumulation of CO2 emissions and takes
    into account the feedback effect from the cost of carbon to the rate at which
    the market emits CO2.

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