Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. 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. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). 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 HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.

Download or read book Stochastic Models for Prices Dynamics in Energy and Commodity Markets written by Fred Espen Benth and published by Springer Nature. This book was released on 2023-11-16 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

Download or read book Stochastic Modeling Of Electricity And Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008-04-14 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. 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. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Download or read book Quantitative Energy Finance written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2013-08-28 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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.

Download or read book Handbook Of Energy Finance Theories Practices And Simulations written by Stephane Goutte and published by World Scientific. This book was released on 2020-01-30 with total page 827 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Download or read book Valuation Hedging and Speculation in Competitive Electricity Markets written by Petter L. Skantze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.

Download or read book Commodities Energy and Environmental Finance written by René Aïd and published by Springer. This book was released on 2015-06-30 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject. The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.

Download or read book Mathematical Modelling of Contemporary Electricity Markets written by Athanasios Dagoumas and published by Academic Press. This book was released on 2021-01-30 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets

Download or read book Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities written by Anatoliy Swishchuk and published by World Scientific. This book was released on 2013-06-03 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index. Contents:Stochastic VolatilityStochastic Volatility ModelsSwapsChange of Time MethodsBlack-Scholes Formula by Change of Time MethodModeling and Pricing of Swaps for Heston ModelModeling and Pricing of Variance Swaps for Stochastic Volatilities with DelayModeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with DelayPricing Variance Swaps for Stochastic Volatilities with Delay and JumpsVariance Swap for Local Lévy-Based Stochastic Volatility with DelayDelayed Heston Model: Improvement of the Volatility Surface FittingPricing and Hedging of Volatility Swap in the Delayed Heston ModelPricing of Variance and Volatility Swaps with Semi-Markov VolatilitiesCovariance and Correlation Swaps for Markov-Modulated VolatilitiesVolatility and Variance Swaps for the COGARCH(1,1) ModelVariance and Volatility Swaps for Volatilities Driven by Fractional Brownian MotionVariance and Volatility Swaps in Energy MarketsExplicit Option Pricing Formula for a Mean-Reverting Asset in Energy MarketsForward and Futures in Energy Markets: Multi-Factor Lévy ModelsGeneralization of Black-76 Formula: Markov-Modulated Volatility Readership: Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets. Keywords:Stochastic Volatilities;Variance, Volatility, Covariance, Correlation Swaps;Change of Time;Option Pricing;Stochastic Volatilities with Delay;Multi-Factor Stochastic Volatilities Models;Regime-Switching Stochastic Volatilities;Levy-Based Stochastic Volatilities with Delay;COGARCH Stochastic Volatility;Stochastic Volatility Driven by Fractional Brownian Motion;Delayed Heston Model;Semi-Markov Stochastic Volatilities;Energy Markets;Forward and Futures in Energy MarketsKey Features:Provides coverage on topic of swaps not covered in such detail by other titles, in relation to energy and financial marketsIn particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation to energy and financial marketsReviews: “A separate session about the derivative pricing on the energy market is included. Moreover, this book provides many numerical examples to illustrate applications of the stochastic volatility pricing models. This book is quite useful not only for academics and researchers in mathematical and energy finance, but also for practitioners in the financial and energy industries.” Zentralblatt MATH

Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power

Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Download or read book Managing Energy Risk written by Markus Burger and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power. It includes many practical examples and covers methods from financial mathematics as well as economics and energy-related models.

Download or read book Energy Markets and Responsive Grids written by Sean Meyn and published by Springer. This book was released on 2018-06-09 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of selected essays by participants of the workshop Control at Large Scales: Energy Markets and Responsive Grids held at the Institute for Mathematics and its Applications, Minneapolis, Minnesota, U.S.A. from May 9-13, 2016. The workshop brought together a diverse group of experts to discuss current and future challenges in energy markets and controls, along with potential solutions. The volume includes chapters on significant challenges in the design of markets and incentives, integration of renewable energy and energy storage, risk management and resilience, and distributed and multi-scale optimization and control. Contributors include leading experts from academia and industry in power systems and markets as well as control science and engineering. This volume will be of use to experts and newcomers interested in all aspects of the challenges facing the creation of a more sustainable electricity infrastructure, in areas such as distributed and stochastic optimization and control, stability theory, economics, policy, and financial mathematics, as well as in all aspects of power system operation.

Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Download or read book Real Options in Energy and Commodity Markets written by Nicola Secomandi and published by World Scientific. This book was released on 2016-11-28 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice. This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications. The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping. The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.

Download or read book Stochastic Models Statistics and Their Applications written by Ansgar Steland and published by Springer. This book was released on 2015-02-04 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processes, time series analysis, survival analysis and reliability, statistics for stochastic processes, big data in technology and the sciences, statistical genetics, experiment design, and stochastic models in engineering. Stochastic models and related statistical procedures play an important part in furthering our understanding of the challenging problems currently arising in areas of application such as the natural sciences, information technology, engineering, image analysis, genetics, energy and finance, to name but a few. This collection arises from the 12th Workshop on Stochastic Models, Statistics and Their Applications, Wroclaw, Poland.