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Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market

Marckhoff, Jan and Wimschulte, Jens (2008) Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market. Working Paper.

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Other URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1130831, http://rzblx10.uni-regensburg.de/dbinfo/frontdoor.php?titel_id=5727


Abstract

In electricity markets, not only does the risk of substantial price variations over time exist, but so does the risk of price variations over space, as prices between locations can differ due to transmission congestion. To manage this risk, Contracts for Difference (CfDs), i.e., forwards on the spread between a particular area price and the (unconstrained) system price, were introduced at the ...

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Item type:Monograph (Working Paper)
Date:7 May 2008
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Keywords:Electricity; Contract for Difference; Implied Area Forward; Risk Premium
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Unknown
Created at the University of Regensburg:Unknown
Item ID:3714
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