Valuation and Risk Management in the Norwegian Electricity Market
The purpose of this paper is twofold: Firstly, we analyse the option value approximation of traded options in the presence of a volatility term structure. The options are identified as: (a) “European” (written on the forward price of a future flow deliver
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Endre Bjørndal Mette Bjørndal Panos M. Pardalos Mikael R¨onnqvist Editors
Energy, Natural Resources and Environmental Economics
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Editors Professor Endre Bjørndal Department of Accounting, Auditing and Law Norwegian School of Economics and Business Administration (NHH) Helleveien 30 5045 Bergen Norway [email protected]
Professor Mette Bjørndal Department of Finance and Management Science Norwegian School of Economics and Business Administration (NHH) Helleveien 30 5045 Bergen Norway [email protected]
Professor Panos M. Pardalos Department of Industrial & Systems Engineering Center for Applied Optimization, University of Florida Weil Hall 303 P.O. Box 116595 Gainesville FL 32611-6595 USA [email protected] Professor Mikael R¨onnqvist Department of Finance and Management Science Norwegian School of Economics and Business Administration (NHH) Helleveien 30 5045 Bergen Norway [email protected]
ISSN 1867-8998 e-ISSN 1867-9005 ISBN 978-3-642-12066-4 e-ISBN 978-3-642-12067-1 DOI 10.1007/978-3-642-12067-1 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2010931834 c Springer-Verlag Berlin Heidelberg 2010 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover illustration: Cover art entitled “WOOD COLORS IN MOTION” is designed by Elias Tyligadas. Cover design: SPi Publisher Services Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
This book consists of a collection of articles describing the emerging and integrated area of Energy, Natural Resources and Environmental Economics. A majority of the authors are researchers doing applied work in economics, finance, and management science and are based in the Nordic countries. These countries have a long tradition of managing natural resources. Many of the applications are therefore founded on such examples. The book contents are based on a workshop that took place during May 15–16, 2008 in Bergen, Norway. The aim of the workshop was to create a meeting place for researchers who are active in the area of Energy, Natural Resource, and Environmental Economics, and at the same time celebrate Professor Kurt J¨ornsten’s 60
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