We study the merits and limitations of technology improvement (TI) initiatives for managing input-price risk. Such initiatives (e.g., energy efficiency projects) typically reduce the consumption of an input commodity and so result in lower production costs, more sustainable operations, and/or an improved competitive position. This paper explores whether TI can ...
Read More »“Valuation of Mortgage Interest Deductibility under Uncertainty: An Option Pricing Approach”, Accepted by the Journal of Economic Dynamics and Control
Abstract: we propose a dynamic option pricing model to quantify the tax shield value of US mortgage interest deduction (MID) under uncertainty. We identify non-linear forms, both convex and concave regions, in the pay-off of MID, and discuss the implications for the valuation of MID. The model provides insights regarding ...
Read More »New Publication: Volatility Can be Detrimental to Option Values!
Economics Letters, joint work with Arash Fahim Abstract: The value of digital options (both European and American types) can have an inverse-U shape relationship with the volatility of the underlying process! This seemingly counterintuitive proposition is driven by a particular feature of Maringale processes bounded from below (including the Geometric Brownian ...
Read More »New Publication: Integration of Physical and Futures Prices in the US Natural Gas Market
Published in Energy Economics, 2016 Abstract: This paper examines the integration between the prices of different types of physical (upstream/end-use) and futures contracts of natural gas in the US for the period of June 1990–Dec 2014. To examine the equilibrium relationship between physical and futures prices, several cointegration tests are applied. ...
Read More »New Working Paper: Biofuels Supply Risk and Price Volatility
In this research paper we discuss energy policy implications of biofuels feedstock yield volatility. The issue is particularly important for a scaled-up scenario, in which the share of biofuels has significantly increased.
Read More »Focus Program on Commodities, Energy and Environmental Finance
An interesting intense program, with lecture notes available online. There was a similar program at the WPI Institute (Vienna) in 2011.
Read More »New Working Paper: Islamic Finance and the Energy Sector
This is a new paper I have written together with Sajjad Khoshroo. We have collected and analyzed a set of Islamic finance instruments used in energy projects in the Middle East and South East Asia.
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