Quantitative energy finance: modeling, pricing, and hedging in energy and commodity markets 9781493952236, 1493952234

517 76 6MB

English Pages xviii, 308 pages : illustrations (black and white, and colour) ; 26 cm Year 2016

Quantitative energy finance: modeling, pricing, and hedging in energy and commodity markets
9781493952236, 1493952234

Author / Uploaded
Benth
Fred Espen;Kholodnyĭ
Valery A.;Laurence
Peter

Table of contents :
A review of optimal investment rules in electricity generation.- A Survey of Commodity Markets and Structural Models for Electricity Prices.- Fourier based valuation methods in mathematical finance.- Mathematics of Swing Options: A Survey.- Inference for Markov-regime switching models of electricity spot prices.- Modelling electricity day-ahead prices by multivariate Levy semistationary processes.- Modelling Power Forward Prices.- An analysis of the main determinants of electricity forward prices and forward risk premia.- A Dynamic Levy Copula Model for the Spark Spread.- Constrained density estimation.- Electricity Options and Additional Information.

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