In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

This paper develops a method for nodal pricing and market clearing mechanism considering reliability of the system. The effects of components reliability on electricity price, market participants’ profit and system social welfare is considered. This paper considers reliability both for evaluation of market participant’s optimality as well as for fair pricing and market clearing mechanism. To ac...

In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the model dimension of multi-regional temperature-based weather derivatives pricing. Since the proposed contract serves as a risk management tool for...

Dr. Douglas E. Thomas is an Assistant Professor in the Anderson Schools of Management at the University of New Mexico. His research interests include emerging market firms, strategic management in Latin America, and the internationalization of firms. E-mail: [email protected] Web Page: http://www.unm.edu/~thomasd Dr. Lorraine Eden is Professor of Management at Texas A&M University. Her researc...

Eight years of progress towards the creation of a national health information network has resulted in a plethora of health data exchange relationships, most commonly called regional health information organizations (RHIOs). Various network types reflect both governance decisions and practical aspects, such as the need for a variety of information sharing pathways between and among organizations...

In the first module of this class we will study asset pricing implications of recursive contract theory. I will start by reviewing asset pricing in complete markets. Chapter 8 in Ljungqvist and Sargent (2004) provides background reading. The main topic of this module is asset pricing in an environment with limited commitment. As in the complete markets environment, agents can still trade a comp...