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A Multi-Factor Model for Energy Derivatives

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Author Info
Les Clewlow
Chris Strickland
Abstract

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Publisher Info
Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 28.

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Date of creation: 01 Dec 1999
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Handle: RePEc:uts:rpaper:28

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  1. Vazquez, Miguel & Barquín, Julián, 2009. "A fundamental power price model with oligopolistic competition representation," MPRA Paper 15629, University Library of Munich, Germany. [Downloadable!]
  2. Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008. "Short-term evolution of forward curves and volatility in illiquid power markets," MPRA Paper 8932, University Library of Munich, Germany, revised May 2008. [Downloadable!]
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