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001 978-1-4614-7248-3
003 DE-He213
005 20200420211740.0
007 cr nn 008mamaa
008 130828s2014 xxu| s |||| 0|eng d
020 _a9781461472483
_9978-1-4614-7248-3
024 7 _a10.1007/978-1-4614-7248-3
_2doi
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
245 1 0 _aQuantitative Energy Finance
_h[electronic resource] :
_bModeling, Pricing, and Hedging in Energy and Commodity Markets /
_cedited by Fred Espen Benth, Valery A. Kholodnyi, Peter Laurence.
264 1 _aNew York, NY :
_bSpringer New York :
_bImprint: Springer,
_c2014.
300 _aXVIII, 308 p. 85 illus., 67 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aA 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 L�evy semistationary processes -- Modelling Power Forward Prices -- An analysis of the main determinants of electricity forward prices and forward risk premia -- A Dynamic L�evy Copula Model for the Spark Spread -- Constrained density estimation -- Electricity Options and Additional Information.
520 _aFinance 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 research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
650 0 _aFinance.
650 0 _aEnergy policy.
650 0 _aEnergy and state.
650 0 _aEconomics, Mathematical.
650 0 _aStatistics.
650 1 4 _aFinance.
650 2 4 _aFinance, general.
650 2 4 _aQuantitative Finance.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aEnergy Policy, Economics and Management.
700 1 _aBenth, Fred Espen.
_eeditor.
700 1 _aKholodnyi, Valery A.
_eeditor.
700 1 _aLaurence, Peter.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781461472476
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4614-7248-3
912 _aZDB-2-SBE
942 _cEBK
999 _c50634
_d50634