Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada
This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil options using the Lévy processes, energy contr...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-08-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/11/8/150 |
| _version_ | 1827728682421059584 |
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| author | Anatoliy Swishchuk |
| author_facet | Anatoliy Swishchuk |
| author_sort | Anatoliy Swishchuk |
| collection | DOAJ |
| description | This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil options using the Lévy processes, energy contracts modeling with delayed and jumped volatilities, applications of mean-reverting processes on Alberta energy markets, and alternatives to the Black-76 model for options valuation of futures contracts. We will also consider the clean renewable energy prospective in Canada, and, in particular, in Alberta and Calgary. |
| first_indexed | 2024-03-10T23:36:25Z |
| format | Article |
| id | doaj.art-37acf27a3ad44b44b5860f49f048ef81 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-10T23:36:25Z |
| publishDate | 2023-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-37acf27a3ad44b44b5860f49f048ef812023-11-19T02:55:06ZengMDPI AGRisks2227-90912023-08-0111815010.3390/risks11080150Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in CanadaAnatoliy Swishchuk0Department of Mathematics and Statistics, University of Calgary, Calgary, AB T2N 1N4, CanadaThis paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil options using the Lévy processes, energy contracts modeling with delayed and jumped volatilities, applications of mean-reverting processes on Alberta energy markets, and alternatives to the Black-76 model for options valuation of futures contracts. We will also consider the clean renewable energy prospective in Canada, and, in particular, in Alberta and Calgary.https://www.mdpi.com/2227-9091/11/8/150energy marketsoption pricingmean-reverting assetsvariance and volatility swapsrisk premia on energy marketscrude oil pricing |
| spellingShingle | Anatoliy Swishchuk Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada Risks energy markets option pricing mean-reverting assets variance and volatility swaps risk premia on energy markets crude oil pricing |
| title | Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada |
| title_full | Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada |
| title_fullStr | Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada |
| title_full_unstemmed | Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada |
| title_short | Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada |
| title_sort | overview of some recent results of energy market modeling and clean energy vision in canada |
| topic | energy markets option pricing mean-reverting assets variance and volatility swaps risk premia on energy markets crude oil pricing |
| url | https://www.mdpi.com/2227-9091/11/8/150 |
| work_keys_str_mv | AT anatoliyswishchuk overviewofsomerecentresultsofenergymarketmodelingandcleanenergyvisionincanada |