ENGLISH

Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy and Commodity Markets

By Peter , Benth , Fred Espen;Kholodnyi , Valery A.;Laurence

Book information

Publisher
Springer New York : Imprint : Springer
Year
2014
ISBN
9781461472476, 9781461472483, 1461472482
Language
english
Format
PDF
Filesize
7 MB (7310815 bytes)
Pages
308\318
Time added
2020-07-26 19:24:52
Economics and Management;Finance;Finance/InvestmenEconomics;Economics/Management Science;Energy Poli

Description

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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