Stochastic Modeling of Electricity and Related Markets (Advanced Series on Statistical Science and Applied Probability) (Volume 11)
| Author | : | |
| Rating | : | 4.69 (646 Votes) |
| Asin | : | 981281230X |
| Format Type | : | paperback |
| Number of Pages | : | 352 Pages |
| Publish Date | : | 2016-10-24 |
| Language | : | English |
DESCRIPTION:
Very versatile book I am currently working as a quant in one of the larger energy companies.All in all, I find the book among the most versatile and to the point in day to day challenges for quants in the energy market. It has a really good balance and connection between theory, real life markets and challenges and empirical findings. You should be fairly accustomed to Stochastic calculus (e.g. Ito-calc) to benefit from the technical chapters in the book.The book is very systematic and pedagogic in its form combined with a very theoretic core. Opposed to ma
--Professor Anatoliy Swishchuk, University of Calgary . Like all good writing on mathematical finance, it is both theoretical and applied: the theorems and their proofs sit easily between the same covers as the analysis of real-world data sets. --Mathematical ReviewsThis book provides a concise and rigorous treatment on the stochastic modeling of energy markets It is easy to read and understand, and it's very interesting It will be useful for researchers in stochastic modeling of energy derivatives, graduate students specializing in this area of financial mathematics and practitioners who work in ener
The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Ornstein Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. 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. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the Heath Jarrow Morton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives.. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. Moreover, futures contrac