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Contingent claims in the Alberta ele...

MacDonald, Patrick Bruce.

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Contingent claims in the Alberta electricity market.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Contingent claims in the Alberta electricity market./
Author:	MacDonald, Patrick Bruce.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2003,
Description:	68 p.
Notes:	Source: Masters Abstracts International, Volume: 42-05, page: 1523.
Contained By:	Masters Abstracts International42-05.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MQ87345
ISBN:	9780612873452

Contingent claims in the Alberta electricity market.
MacDonald, Patrick Bruce.

Contingent claims in the Alberta electricity market. - Ann Arbor : ProQuest Dissertations & Theses, 2003 - 68 p.

Source: Masters Abstracts International, Volume: 42-05, page: 1523.

Thesis (M.A.)--University of Calgary (Canada), 2003.

The deregulation of the Alberta wholesale electricity industry has caused the formation of an over-the-counter market for financial option contracts. As shown, the properties of Alberta electricity prices, including the appearance of discontinues prices spikes at random intervals, make traditional valuation methods of such options inappropriate. An alternative method utilizing Markov chains is proposed, and advice is given regarding how best to implement it.

ISBN: 9780612873452Subjects--Topical Terms:

542899
Finance.

Contingent claims in the Alberta electricity market.
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245 1 0 $a Contingent claims in the Alberta electricity market.
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300 $a 68 p.
500 $a Source: Masters Abstracts International, Volume: 42-05, page: 1523.
500 $a Advisers: Robert Elliott; Frank Atkins.
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520 $a The deregulation of the Alberta wholesale electricity industry has caused the formation of an over-the-counter market for financial option contracts. As shown, the properties of Alberta electricity prices, including the appearance of discontinues prices spikes at random intervals, make traditional valuation methods of such options inappropriate. An alternative method utilizing Markov chains is proposed, and advice is given regarding how best to implement it.
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