LEADER 04955nam 22007815 450 001 9910765496003321 005 20240619181059.0 010 $a3-031-40367-3 024 7 $a10.1007/978-3-031-40367-5 035 $a(MiAaPQ)EBC30951815 035 $a(Au-PeEL)EBL30951815 035 $a(DE-He213)978-3-031-40367-5 035 $a(CKB)28863491400041 035 $a(EXLCZ)9928863491400041 100 $a20231116d2023 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aStochastic Models for Prices Dynamics in Energy and Commodity Markets $eAn Infinite-Dimensional Perspective /$fby Fred Espen Benth, Paul Krühner 205 $a1st ed. 2023. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2023. 215 $a1 online resource (250 pages) 225 1 $aSpringer Finance,$x2195-0687 311 08$aPrint version: Benth, Fred Espen Stochastic Models for Prices Dynamics in Energy and Commodity Markets Cham : Springer International Publishing AG,c2023 9783031403668 327 $a1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipovi? 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 Filipovi? space. 330 $aThis monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath?Jarrow?Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovi? space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable. 410 0$aSpringer Finance,$x2195-0687 606 $aStochastic processes 606 $aStatistics 606 $aFinancial risk management 606 $aFunctional analysis 606 $aRenewable energy sources 606 $aStochastic Processes 606 $aStatistics in Business, Management, Economics, Finance, Insurance 606 $aRisk Management 606 $aFunctional Analysis 606 $aRenewable Energy 606 $aGestiķ del risc$2thub 606 $aAnālisi funcional$2thub 606 $aProcessos estocāstics$2thub 606 $aEnergies renovables$2thub 608 $aLlibres electrōnics$2thub 615 0$aStochastic processes. 615 0$aStatistics. 615 0$aFinancial risk management. 615 0$aFunctional analysis. 615 0$aRenewable energy sources. 615 14$aStochastic Processes. 615 24$aStatistics in Business, Management, Economics, Finance, Insurance. 615 24$aRisk Management. 615 24$aFunctional Analysis. 615 24$aRenewable Energy. 615 7$aGestiķ del risc 615 7$aAnālisi funcional 615 7$aProcessos estocāstics 615 7$aEnergies renovables 676 $a519.23 700 $aBenth$b Fred Espen$0151492 701 $aKrühner$b Paul$01449236 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910765496003321 996 $aStochastic Models for Prices Dynamics in Energy and Commodity Markets$93645564 997 $aUNINA