LEADER 05778nam 2200721 a 450 001 9910453198703321 005 20200520144314.0 010 $a1-281-96091-8 010 $a9786611960919 010 $a981-281-231-8 035 $a(CKB)1000000000538209 035 $a(EBL)1679308 035 $a(OCoLC)879023463 035 $a(SSID)ssj0000251559 035 $a(PQKBManifestationID)11200083 035 $a(PQKBTitleCode)TC0000251559 035 $a(PQKBWorkID)10169848 035 $a(PQKB)10360756 035 $a(MiAaPQ)EBC1679308 035 $a(WSP)00000356 035 $a(Au-PeEL)EBL1679308 035 $a(CaPaEBR)ebr10255573 035 $a(CaONFJC)MIL196091 035 $a(EXLCZ)991000000000538209 100 $a20080118d2008 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aStochastic modelling of electricity and related markets$b[electronic resource] /$fFred Espen Benth, Ju?rate? S?altyte? Benth, Steen Koekebakker 210 $aSingapore ;$aHackensack, N.J. $cWorld Scientific$dc2008 215 $a1 online resource (352 p.) 225 1 $aAdvanced series on statistical science & applied probability ;$vv. 11 300 $aDescription based upon print version of record. 311 $a981-281-230-X 320 $aIncludes bibliographical references (p. 321-331) and index. 327 $aContents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions 327 $a2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Le?vy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 327 $a3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 327 $a4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 327 $a6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 327 $a8.1 The Nord Pool market and financial contracts 330 $aThe markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward 410 0$aAdvanced series on statistical science & applied probability ;$vv. 11. 606 $aElectric utilities$xMathematical models 606 $aEnergy industries$xMathematical models 606 $aStochastic models 608 $aElectronic books. 615 0$aElectric utilities$xMathematical models. 615 0$aEnergy industries$xMathematical models. 615 0$aStochastic models. 676 $a333.793/20151922 700 $aBenth$b Fred Espen$f1969-$0151492 701 $aSaltyte Benth$b Jurate$0772024 701 $aKoekebakker$b Steen$0772025 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910453198703321 996 $aStochastic modelling of electricity and related markets$91575851 997 $aUNINA