Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities
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Handbook Of Energy Finance Theories Practices And Simulations
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Author : Stephane Goutte
language : en
Publisher: World Scientific
Release Date : 2020-01-30
Handbook Of Energy Finance Theories Practices And Simulations written by Stephane Goutte and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-30 with Business & Economics categories.
Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities
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Author : Anatoliy V. Swishchuk
language : en
Publisher:
Release Date : 2010
Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities written by Anatoliy V. Swishchuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts. We also study optimal control of stochastic differential delay equations (SDDEs) with jumps and its applications in energy markets and economics.
Handbook Of Energy Finance
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Author : Duc Khuong Nguyen
language : en
Publisher:
Release Date : 2019
Handbook Of Energy Finance written by Duc Khuong Nguyen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Energy industries categories.
Stochastic Modelling Of Electricity And Related Markets
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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2008
Stochastic Modelling Of Electricity And Related Markets written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Financial Modelling With Jump Processes
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Author : Rama Cont
language : en
Publisher: CRC Press
Release Date : 2003-12-30
Financial Modelling With Jump Processes written by Rama Cont and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-30 with Business & Economics categories.
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Derivatives In Financial Markets With Stochastic Volatility
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-03
Derivatives In Financial Markets With Stochastic Volatility written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-03 with Business & Economics categories.
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Energy And Power Risk Management
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Author : Alexander Eydeland
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Energy And Power Risk Management written by Alexander Eydeland and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-03 with Business & Economics categories.
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
Mathematical Reviews
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Author :
language : en
Publisher:
Release Date : 2005
Mathematical Reviews written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
Electricity Markets
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Author : Chris Harris
language : en
Publisher: John Wiley & Sons
Release Date : 2006-05-18
Electricity Markets written by Chris Harris and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-18 with Business & Economics categories.
Understand the electricity market, its policies and how they drive prices, emissions, and security, with this comprehensive cross-disciplinary book. Author Chris Harris includes technical and quantitative arguments so you can confidently construct pricing models based on the various fluctuations that occur. Whether you?re a trader or an analyst, this book will enable you to make informed decisions about this volatile industry.
Monte Carlo Methods And Models In Finance And Insurance
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Author : Ralf Korn
language : en
Publisher: CRC Press
Release Date : 2010-02-26
Monte Carlo Methods And Models In Finance And Insurance written by Ralf Korn and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-26 with Business & Economics categories.
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom