• Analysing flexible load contracts in the energy market 

      Lund, Arne-Christian; Ollmar, Fridthjof (Discussion paper, Working paper, 2002-11)
      In this paper we analyse flexible load contracts (FLC), a type of "swing" option. This contract type has existed in energy markets for a long time and has proved to be challenging to value. The term swing refers to the ...
    • Credit spreads and incomplete information 

      Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)
      A new model is presented which produces credit spreads that do not converge to zero for short maturities. Our set-up includes incomplete, i.e., delayed and asymmetric information. When the financial market observes the ...
    • Optimal control of a renewable natural resources and the "stochastically induced critical depensation" 

      Lund, Arne-Christian (Discussion paper, Working paper, 2002-12)
      This paper focus aspects connected to the optimal control of a renewable resource modelled by a stochastic differential equation. The main point is to show how small changes of the problem may cause severe changes in the ...