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Quantitative Methods for Electricity Trading and Risk Management

Advanced Mathematical and Statistical Methods for Energy Finance

  • Authors
  • Stefano¬†Fiorenzani
Book

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Distributional and Dynamic Features of Electricity Spot Prices

    1. Front Matter
      Pages 1-1
    2. Stefano Fiorenzani
      Pages 3-7
    3. Stefano Fiorenzani
      Pages 8-18
  3. Electricity Spot Price Stochastic Models

    1. Front Matter
      Pages 37-37
    2. Stefano Fiorenzani
      Pages 39-42
    3. Stefano Fiorenzani
      Pages 43-50
    4. Stefano Fiorenzani
      Pages 51-67
  4. Electricity Derivatives: Main Typologies and Evaluation Problems

    1. Front Matter
      Pages 69-69
    2. Stefano Fiorenzani
      Pages 71-82
    3. Stefano Fiorenzani
      Pages 83-94
  5. Real Asset Modeling and Real Options: Theoretical Framework and Numerical Methods

    1. Front Matter
      Pages 109-109
    2. Stefano Fiorenzani
      Pages 111-126
    3. Stefano Fiorenzani
      Pages 127-141
  6. Electricity Risk Management: Risk Control Principles and Risk Measurement Techniques

    1. Front Matter
      Pages 143-143
    2. Stefano Fiorenzani
      Pages 145-151
    3. Stefano Fiorenzani
      Pages 152-164
    4. Stefano Fiorenzani
      Pages 165-175
  7. Back Matter
    Pages 176-181

About this book

Introduction

This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.

Keywords

asset management derivatives Hedging methods Options Risk Management

Bibliographic information