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Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-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 3.3 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 4.4.2 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 6.4.1 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 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910453198703321 |
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-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 3.3 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 4.4.2 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 6.4.1 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 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910782268103321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-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 3.3 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 4.4.2 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 6.4.1 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 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910810335003321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||