Ebook: Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets
- Tags: Finance/Investment/Banking, Quantitative Finance, Statistics for Business/Economics/Mathematical Finance/Insurance, Energy Policy Economics and Management
- Year: 2014
- Publisher: Springer-Verlag New York
- Edition: 1
- Language: English
- pdf
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Content:
Front Matter....Pages i-xviii
Front Matter....Pages 1-1
A Review of Optimal Investment Rules in Electricity Generation....Pages 3-40
A Survey of Commodity Markets and Structural Models for Electricity Prices....Pages 41-83
Fourier-Based Valuation Methods in Mathematical Finance....Pages 85-114
Mathematics of Swing Options: A Survey....Pages 115-133
Front Matter....Pages 135-135
Inference for Markov Regime-Switching Models of Electricity Spot Prices....Pages 137-155
Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes....Pages 157-188
Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward Spikes in the Framework of the Non-Markovian Approach....Pages 189-211
Front Matter....Pages 213-213
An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia....Pages 215-236
A Dynamic Lévy Copula Model for the Spark Spread....Pages 237-257
Constrained Density Estimation....Pages 259-284
Electricity Options and Additional Information....Pages 285-305
Back Matter....Pages 307-308