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  1. No Access

    Chapter

    On the Volatility of Commodity Futures Prices

    This paper analyzes the volatility structure of commodity futures markets by using a continuous time forward price model with stochastic volatility. The model features three distinct volatility structures, eac...

    Les Clewlow, Boda Kang… in Nonlinear Economic Dynamics and Financial … (2014)

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    Chapter

    A Multi-factor Structural Model for Australian Electricity Market Risk

    In this paper, we develop a general framework for the modelling of Australian electricity market risk based on the structural relationships in the market. The model framework is designed to be consistent with ...

    John Breslin, Les Clewlow, Chris Strickland in Nonlinear Economic Dynamics and Financial … (2014)

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    Chapter and Conference Paper

    The Evaluation of Gas Swing Contracts with Regime Switching

    A typical gas swing contract is an agreement between a supplier and a purchaser for the delivery of variable daily quantities of gas, between specified minimum and maximum daily limits, over a certain period a...

    Carl Chiarella, Les Clewlow, Boda Kang in Topics in Numerical Methods for Finance (2012)