Quantitative Energy Finance

Modeling, Pricing, and Hedging in Energy and Commodity Markets

  • Fred Espen Benth
  • Valery A. Kholodnyi
  • Peter Laurence

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Surveys

  3. Energy Spot Modelling

  4. Pricing of Derivatives

    1. Front Matter
      Pages 213-213
    2. Thilo Meyer-Brandis, Michael Morgan
      Pages 237-257
    3. Peter Laurence, Ricardo J. Pignol, Esteban G. Tabak
      Pages 259-284
    4. Fred E. Benth, Richard Biegler-König, Rüdiger Kiesel
      Pages 285-305
  5. Back Matter
    Pages 307-308

About this book


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.


Energy Finance Energy Markets Financial Engineering Financial Mathematics Quantitative Finance Risk Management

Editors and affiliations

  • Fred Espen Benth
    • 1
  • Valery A. Kholodnyi
    • 2
  • Peter Laurence
    • 3
  1. 1.Center of Mathematics for ApplicationsUniversity of OsloOsloNorway
  2. 2.Verbund Trading AGViennaAustria
  3. 3.Dipartimento di MatematicaUniversity di Roma, La SapienzaRomeItaly

Bibliographic information

  • DOI
  • Copyright Information Springer Science+Business Media New York 2014
  • Publisher Name Springer, New York, NY
  • eBook Packages Business and Economics
  • Print ISBN 978-1-4614-7247-6
  • Online ISBN 978-1-4614-7248-3
  • Buy this book on publisher's site