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Book Review: Energy Derivatives: Pricing Risk Management, Clewlow L., Strickland C., 2000 Chapter 4: Energy Forward Cu

Outline. IntroductionForward Curves in the Debt MarketConstructing Forward CurvesCost of Carry RelationshipForward Price Bounds for EnergiesSeasonality in PricesForward Curves in the Electricity MarketArbitrage Pricing ApproachThe Econometric ApproachThe Spot Price Modeling Approach. Introd

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Book Review: Energy Derivatives: Pricing Risk Management, Clewlow L., Strickland C., 2000 Chapter 4: Energy Forward Cu

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    1. Book Review: Energy Derivatives: Pricing & Risk Management, Clewlow L., Strickland C., 2000 Chapter 4: Energy Forward Curves Li Xu “Lunch at Lab” Talk Department of Mathematics & Statistics University of Calgary

    2. Outline Introduction Forward Curves in the Debt Market Constructing Forward Curves Cost of Carry Relationship Forward Price Bounds for Energies Seasonality in Prices Forward Curves in the Electricity Market Arbitrage Pricing Approach The Econometric Approach The Spot Price Modeling Approach

    3. Introduction The forward curve contains information about the prices an investor can lock into today for different times in the future. Forward prices are also the key inputs to many derivative pricing models (See Chapter 8). Further discussion can be found in Gabillon (1995), Humphreys and Shimko (1997) and Leong (1997).

    4. Market Forward Curves

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