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The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...
Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...
This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...
In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...
We study the problem of proving termination of open, higher-order programs with recursive functions and datatypes. We identify a new point in the design space of solutions, with an appealing trade-off between simplicity of specification, modularity, and am ...
We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when s ...
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...
The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...
Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...
Online reviews have become increasingly popular as a way to judge the quality of various products and services. However, recent work demonstrates that the absence of reporting incentives leads to a biased set of reviews that may not reflect the true qualit ...
