etrm-package

etrm: Energy Trading and Risk Management

Tools for energy market risk management (forward curves and trading strategies) package

References

F. E. Benth, S. Koekkebakker, and F. Ollmar. Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation.The Journal of Derivatives, 15(1):52–66,2007b. https://doi.org/10.3905/jod.2007.694791

F. E. Benth, J. S. Benth, and S. Koekebakker. Stochastic modelling of electricity and related markets,volume 11. World Scientific, 2008. https://doi.org/10.1142/6811

F. Black. The pricing of commodity contracts.Journal of financial economics, 3(1):167–179, 1976. https://doi.org/10.1016/0304-405X(76)90024-6

T. Bjork. Arbitrage Theory in Continuous Time. Oxford University Press, 3 edition, 2009. https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742

F. Black and R. W. Jones. Simplifying portfolio insurance. The Journal of Portfolio Management, 14(1):48–51, 1987. https://doi.org/10.3905/jpm.1987.409131

H. E. Leland. Who should buy portfolio insurance? The Journal of Finance, 35(2):581–594, 1980. http://www.jstor.org/stable/2327419

Author(s)

Anders D. Sleire sleire@gmail.com