TY  - BOOK
AU  - Aïd,René
ED  - SpringerLink (Online service)
TI  - Electricity Derivatives
T2  - SpringerBriefs in Quantitative Finance,
SN  - 9783319083957
AV  - HB135-147 
U1  - 519 23
PY  - 2015///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - mathematics
KW  - Economics, Mathematical
KW  - Mathematics
KW  - Quantitative Finance
N1  - Introduction -- Electricity Markets -- Electricity Features -- Markets Microstructure -- Real Derivatives -- Conclusion -- Price Models -- Preliminary Remarks -- HJM Style Forward Curve Models -- One-Factor Spot Models -- Multi-Factor Spot Models -- Structural Models -- Derivatives -- Spreads -- Power Plants and Tollings -- Storage and Swings -- Retail Contracts -- Weather Derivatives -- Conclusion
N2  - Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks
UR  - http://dx.doi.org/10.1007/978-3-319-08395-7
ER  -