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02/19/07 Colloquium
Dr. Jesus Rodriguez
University of California
University of California
Pricing Issues in the Energy Markets
Abstract: Energy markets around the world have undergone rapid deregulation in the past decade and the trend appears to be continuing. This deregulation has naturally led to increased levels of volatility in the price of electricity, and hence a need to reduceexposure to risk for participants in the market. To do this, weneed to know how to price derivatives in the electricity market. We willdiscuss, in a probabilistic framework, the issues in this market, andshow how existing ideas can be used to deal with some of the morecomplicated issues. Special attention will be given to the "swing" option which is particular to energy markets.