Commodities, Energy and Environmental Finance

Financialization of the Commodity Markets (R. Carmona).- Understanding the Tracking Errors of Commodity Leveraged ETFs (K. Guo, T. Leung).- Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises? (D. Lautier, J. Ling, F. Raynaud).- Margrabe Revisited (H. Tuenter).- Cross-Commodity Modelling by Multivariate Ambit Fields (F. Benth, A. Veraart, O. Barndorff-Nielsen).- Hedging Expected Losses on Derivatives in Electricity Futures Market (A. Nguyen Huu, N. Oudjane).- Calibration of Electricity Price Models (O. Feron, E. Daboussi).- Measuring the Competitiveness Benefits of Transmission Expansions in Wholesale Electricity Markets (F. Wolak).- Incorporating Managerial Information into Real Option Valuation (S. Jaimungal, Y. Lawryshyn).- Real Options with Regulatory Policy Uncertainty (M. Davison, C. Maxwell).- A Hedged Monte Carlo Approach to Real Option Pricing (E. Brigatti, M. Souza, J. Zubelli).- Technological Transition to Electric Mobility (R. Aid, I. Ben-Tahar).- Game Theoretic Models for Energy Production (M. Ludkovski, R. Sircar).- Design Analysis of Carbon Auction Market, Through Electricity Market Coupling (M. Bossy, N. Maizi, O. Pourtalier).- Dynamic Cournot Duopolies Under Stochastic Demand (M. Ludkovski, X. Yang).- Oligopoly Markets with Renewable Resources, Exploration and Evolving Extraction Costs with an Application to Energy Policy (A. Dasarathy, R. Sircar).

Ronnie Sircar taught for three years at the University of Michigan in the Department of Mathematics before moving to Princeton University in 2000. He is now a Professor in the Operations Research and Financial Engineering Department at Princeton and an affiliate member of the Bendheim Center for Finance and the Program in Applied and Computational Mathematics.