Commodities, Energy and Environmental Finance

  • René Aïd
  • Michael Ludkovski
  • Ronnie Sircar

Part of the Fields Institute Communications book series (FIC, volume 74)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Commodities and Financial Markets

    1. Front Matter
      Pages 1-1
    2. Delphine Lautier, Julien Ling, Franck Raynaud
      Pages 65-90
    3. Hans J. H. Tuenter
      Pages 91-105
  3. Electricity and Related Markets

    1. Front Matter
      Pages 107-107
    2. Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
      Pages 109-148
    3. Adrien Nguyen Huu, Nadia Oudjane
      Pages 149-181
    4. Olivier Féron, Elias Daboussi
      Pages 183-210
  4. Real Options

    1. Front Matter
      Pages 211-211
    2. Sebastian Jaimungal, Yuri Lawryshyn
      Pages 213-238
    3. Christian Maxwell, Matt Davison
      Pages 239-273
    4. Edgardo Brigatti, Felipe Macías, Max O. Souza, Jorge P. Zubelli
      Pages 275-299
    5. René Aïd, Imen Ben Tahar
      Pages 301-313
  5. Dynamic Games in Commodity Markets

    1. Front Matter
      Pages 315-315
    2. Michael Ludkovski, Ronnie Sircar
      Pages 317-333
    3. Mireille Bossy, Nadia Maïzi, Odile Pourtallier
      Pages 335-370
    4. Anirudh Dasarathy, Ronnie Sircar
      Pages 397-430

About this book

Introduction

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.

Keywords

commodity valuation electricity markets environmental economics financial mathematics real options trading in commodity markets

Editors and affiliations

  • René Aïd
    • 1
  • Michael Ludkovski
    • 2
  • Ronnie Sircar
    • 3
  1. 1.EDF R&DClamart CedexFrance
  2. 2.Department of Statistics and Applied ProbabilityUniversity of California Santa BarbaraCityUSA
  3. 3.ORFE DepartmentPrinceton UniversityPrincetonUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4939-2733-3
  • Copyright Information Springer Science+Business Media New York 2015
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4939-2732-6
  • Online ISBN 978-1-4939-2733-3
  • Series Print ISSN 1069-5265
  • Series Online ISSN 2194-1564
  • About this book