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020 _a9781461472483
_9978-1-4614-7248-3
024 7 _a10.1007/978-1-4614-7248-3
_2doi
035 _ato000540850
040 _aSpringer
_cSpringer
_dRU-ToGU
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050 4 _aHG4501-6051
050 4 _aHG1501-HG3550
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072 7 _aBUS004000
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082 0 4 _a657.8333
_223
082 0 4 _a658.152
_223
245 1 0 _aQuantitative Energy Finance
_helectronic resource
_bModeling, Pricing, and Hedging in Energy and Commodity Markets /
_cedited by Fred Espen Benth, Valery A. Kholodnyi, Peter Laurence.
260 _aNew York, NY :
_bSpringer New York :
_bImprint: Springer,
_c2014.
300 _aXVIII, 308 p. 85 illus., 67 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
505 0 _aA review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of electricity spot prices -- Modelling electricity day–ahead prices by multivariate Lévy semistationary processes -- Modelling Power Forward Prices -- An analysis of the main determinants of electricity forward prices and forward risk premia -- A Dynamic Lévy Copula Model for the Spark Spread -- Constrained density estimation -- Electricity Options and Additional Information.
520 _aFinance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
650 0 _aEconomics.
_9135154
650 0 _aFinance.
_9142509
650 0 _aEconomics
_xStatistics.
_9304057
650 1 4 _aEconomics/Management Science.
_9247365
650 2 4 _aFinance/Investment/Banking.
_9416068
650 2 4 _aQuantitative Finance.
_9304891
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
_9304058
650 2 4 _aEnergy Policy, Economics and Management.
_9567118
700 1 _aBenth, Fred Espen.
_eeditor.
_9325305
700 1 _aKholodnyi, Valery A.
_eeditor.
_9446808
700 1 _aLaurence, Peter.
_eeditor.
_9446809
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4614-7248-3
912 _aZDB-2-SBE
999 _c399264