Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets (Book, 2014) [WorldCat.org]
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Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets

Author: Fred Espen Benth; Valery A Kholodnyi; Peter Laurence
Publisher: New York : Springer, ©2014.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

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  Read more...

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Document Type: Book
All Authors / Contributors: Fred Espen Benth; Valery A Kholodnyi; Peter Laurence
ISBN: 9781461472476 1461472474
OCLC Number: 934110630
Description: xviii, 308 p. ; 26 cm
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, Valery A. Kholodnyi, Peter Laurence editors.

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