04955nam 22007815 450 991076549600332120240619181059.03-031-40367-310.1007/978-3-031-40367-5(MiAaPQ)EBC30951815(Au-PeEL)EBL30951815(DE-He213)978-3-031-40367-5(CKB)28863491400041(EXLCZ)992886349140004120231116d2023 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierStochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective /by Fred Espen Benth, Paul Krühner1st ed. 2023.Cham :Springer International Publishing :Imprint: Springer,2023.1 online resource (250 pages)Springer Finance,2195-0687Print version: Benth, Fred Espen Stochastic Models for Prices Dynamics in Energy and Commodity Markets Cham : Springer International Publishing AG,c2023 9783031403668 1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipović space and operators -- 4 Stochastic integration and partial differential equations -- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing -- 5 Spot models and forward pricing -- 6 Heath–Jarrow–Morton type models -- 7 Pricing of commodity and energy options -- Appendix A: Collection of some fundamental properties of the Filipović space.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.Springer Finance,2195-0687Stochastic processesStatisticsFinancial risk managementFunctional analysisRenewable energy sourcesStochastic ProcessesStatistics in Business, Management, Economics, Finance, InsuranceRisk ManagementFunctional AnalysisRenewable EnergyGestió del riscthubAnàlisi funcionalthubProcessos estocàsticsthubEnergies renovablesthubLlibres electrònicsthubStochastic processes.Statistics.Financial risk management.Functional analysis.Renewable energy sources.Stochastic Processes.Statistics in Business, Management, Economics, Finance, Insurance.Risk Management.Functional Analysis.Renewable Energy.Gestió del riscAnàlisi funcionalProcessos estocàsticsEnergies renovables519.23Benth Fred Espen151492Krühner Paul1449236MiAaPQMiAaPQMiAaPQBOOK9910765496003321Stochastic Models for Prices Dynamics in Energy and Commodity Markets3645564UNINA