Quantitative Analysis Of Energy Markets
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Quantitative Energy Finance
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Author : Fred Espen Benth
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-28
Quantitative Energy Finance written by Fred Espen Benth and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-28 with Business & Economics categories.
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.
Quantitative And Empirical Analysis Of Energy Markets
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Author : Apostolos Serletis
language : en
Publisher: World Scientific
Release Date : 2007-04-27
Quantitative And Empirical Analysis Of Energy Markets written by Apostolos Serletis and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-27 with Business & Economics categories.
Bringing together leading-edge research and innovative energy markets econometrics, this book collects the author's most important recent contributions in energy economics. In particular, the book:• applies recent advances in the field of applied econometrics to investigate a number of issues regarding energy markets, including the theory of storage and the efficient markets hypothesis• presents the basic stylized facts on energy price movements using correlation analysis, causality tests, integration theory, cointegration theory, as well as recently developed procedures for testing for shared and codependent cycles• uses recent advances in the financial econometrics literature to model time-varying returns and volatility in energy prices and to test for causal relationships between energy prices and their volatilities• explores the functioning of electricity markets and applies conventional models of time series analysis to investigate a number of issues regarding wholesale power prices in the western North American markets• applies tools from statistics and dynamical systems theory to test for nonlinear dynamics and deterministic chaos in a number of North American hydrocarbon markets (those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas)
Quantitative Analysis Of Energy Markets
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Author : Angelica Gianfreda
language : en
Publisher:
Release Date : 2019
Quantitative Analysis Of Energy Markets written by Angelica Gianfreda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Special Issue Quantitative Analysis Of Energy Markets
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Author :
language : en
Publisher:
Release Date : 2012
Special Issue Quantitative Analysis Of Energy Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Quantitative Analysis Of Energy Markets
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Author :
language : en
Publisher:
Release Date : 2013
Quantitative Analysis Of Energy Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Optimization Methods For Gas And Power Markets
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Author : Enrico Edoli
language : en
Publisher: Springer
Release Date : 2016-04-30
Optimization Methods For Gas And Power Markets written by Enrico Edoli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.
As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.
The Econometrics Of Energy Systems
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Author : Jacques Girod
language : en
Publisher: Springer
Release Date : 2006-12-14
The Econometrics Of Energy Systems written by Jacques Girod and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-14 with Business & Economics categories.
The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.
Quantitative Methods For Electricity Trading And Risk Management
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Author : S. Fiorenzani
language : en
Publisher: Springer
Release Date : 2006-01-31
Quantitative Methods For Electricity Trading And Risk Management written by S. Fiorenzani and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-31 with Business & Economics categories.
This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.
Valuation Hedging And Speculation In Competitive Electricity Markets
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Author : Petter L. Skantze
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-10-31
Valuation Hedging And Speculation In Competitive Electricity Markets written by Petter L. Skantze and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-10-31 with Business & Economics categories.
The challenges facing participants in competitive electricity markets are staggering: high price volatility introduces significant financial risk into an industry accustomed to guaranteed rates of return, while illiquid forward markets prevent effective hedging strategies from being implemented. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach , examines the unique properties which separate electricity from other traded commodities, including the lack of economical storage, and the impact of a scarce transmission network. The authors trace the sources of uncertainties in the price of electricity to underlying physical and economic processes, and incorporate these into a bid-based model for electricity spot and forward prices. They also illustrate how insufficient market data can be circumvented by using a combination of price and load data in the marking- to-market process. The model is applied to three classes of problems central to the operation of any electric utility or power marketer; valuing generation assets, formulating dynamic hedging strategies for load serving obligations, and pricing transmission contracts and locational spread options. Emphasis is placed on the difference between trades which can be 'booked out' in the forward markets, and those which must be carried through to delivery. Lately, significant attention has been given to the role of regulators in mitigating excessive price levels in electricity markets. The authors conduct a quantitative analysis of the long-term effects of regulatory intervention through the use of price caps. By modeling the dynamic interplay between the observed price levels and the decision to invest in new generation assets, it is shown how such short term fixes can lead to long term deficits in the available generation capacity, and ultimately to market failures and blackouts.
Commodities Energy And Environmental Finance
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Author : René Aïd
language : en
Publisher: Springer
Release Date : 2015-06-30
Commodities Energy And Environmental Finance written by René Aïd and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-30 with Mathematics categories.
This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject. The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.