2014

Quantitative Energy Finance

Modeling, Pricing, and Hedging in Energy and Commodity Markets

Editors:

ISBN: 978-1-4614-7247-6 (Print) 978-1-4614-7248-3 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xviii

  2. Surveys

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-40

      A Review of Optimal Investment Rules in Electricity Generation

    3. No Access

      Book Chapter

      Pages 41-83

      A Survey of Commodity Markets and Structural Models for Electricity Prices

    4. No Access

      Book Chapter

      Pages 85-114

      Fourier-Based Valuation Methods in Mathematical Finance

    5. No Access

      Book Chapter

      Pages 115-133

      Mathematics of Swing Options: A Survey

  3. Energy Spot Modelling

    1. Front Matter

      Pages 135-135

    2. No Access

      Book Chapter

      Pages 137-155

      Inference for Markov Regime-Switching Models of Electricity Spot Prices

    3. No Access

      Book Chapter

      Pages 157-188

      Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes

    4. No Access

      Book Chapter

      Pages 189-211

      Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward Spikes in the Framework of the Non-Markovian Approach

  4. Pricing of Derivatives

    1. Front Matter

      Pages 213-213

    2. No Access

      Book Chapter

      Pages 215-236

      An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia

    3. No Access

      Book Chapter

      Pages 237-257

      A Dynamic Lévy Copula Model for the Spark Spread

    4. No Access

      Book Chapter

      Pages 259-284

      Constrained Density Estimation

    5. No Access

      Book Chapter

      Pages 285-305

      Electricity Options and Additional Information

  5. Back Matter

    Pages 307-308