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

Auteur : Fred Espen Benth; Valery A Kholodnyĭ; Peter Laurence
Éditeur : New York, New York : Springer, [2013?] ©2014
Édition/format :   Livre électronique : Document : AnglaisVoir toutes les éditions et tous les formats
Base de données :WorldCat
Résumé :
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  Lire la suite...
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Détails

Genre/forme : Electronic books
Statistics
Format – détails additionnels : Printed edition:
Type d’ouvrage : Document, Ressource Internet
Format : Ressource Internet, Fichier informatique
Tous les auteurs / collaborateurs : Fred Espen Benth; Valery A Kholodnyĭ; Peter Laurence
ISBN : 9781461472483 1461472482 1461472474 9781461472476
Numéro OCLC : 857766583
Description : 1 online resource (xviii, 308 pages) : illustrations (some color)
Contenu : Surveys --
A Review of Optimal Investment Rules in Electricity Generation / René Aïd --
A Survey of Commodity Markets and Structural Models for Electricity Prices / René Carmona, Michael Coulon --
Fourier-Based Valuation Methods in Mathematical Finance / Ernst Eberlein --
Mathematics of Swing Options: A Survey / Jukka Lempa --
Energy Spot Modelling --
Inference for Markov Regime-Switching Models of Electricity Spot Prices / Joanna Janczura, Rafał Weron --
Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes / Almut E. D. Veraart, Luitgard A. M. Veraart --
Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward Spikes in the Framework of the Non-Markovian Approach / Valery A. Kholodnyi --
Pricing of Derivatives --
An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia / Álvaro Cartea, Pablo Villaplana --
A Dynamic Lévy Copula Model for the Spark Spread / Thilo Meyer-Brandis, Michael Morgan --
Constrained Density Estimation / Peter Laurence, Ricardo J. Pignol, Esteban G. Tabak --
Electricity Options and Additional Information / Fred E. Benth, Richard Biegler-König, Rüdiger Kiesel.
Responsabilité : Fred Espen Benth, Valery A. Kholodnyi, Peter Laurence, editors.
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Résumé :

Quantitative Energy Finance  Lire la suite...

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