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

Author: Fred Espen Benth
Publisher: New York [u.a.] : Springer, 2014.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

This book also confronts the challenges in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Fred Espen Benth
ISBN: 1461472474 9781461472476 9781461472483 1461472482
OCLC Number: 859368467
Description: XVIII, 308 S.
Contents: 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.
Responsibility: Fred Espen Benth ... ed.

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