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

作者: Fred Espen Benth; Valery A Kholodnyĭ; Peter Laurence
出版商: New York, New York : Springer, [2013?] ©2014
版本/格式:   電子書 : 文獻 : 英語所有版本和格式的總覽
資料庫:WorldCat
提要:
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  再讀一些...
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類型/形式: Electronic books
資料類型: 文獻, 網際網路資源
文件類型: 網路資源, 電腦資料
所有的作者/貢獻者: Fred Espen Benth; Valery A Kholodnyĭ; Peter Laurence
ISBN: 9781461472483 1461472482
OCLC系統控制編碼: 857766583
描述: 1 online resource (xviii, 308 pages) : illustrations (some color)
内容: 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.
責任: Fred Espen Benth, Valery A. Kholodnyi, Peter Laurence, editors.
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