Electricity derivatives [electronic resource] / René Aïd.
2015
HG6047.E43
Linked e-resources
Linked Resource
Online Access
Concurrent users
Unlimited
Authorized users
Authorized users
Document Delivery Supplied
Can lend chapters, not whole ebooks
Details
Title
Electricity derivatives [electronic resource] / René Aïd.
Author
Aïd, René, author.
ISBN
9783319083957 electronic book
3319083953 electronic book
9783319083940
3319083953 electronic book
9783319083940
Published
Cham : Springer, [2015]
Copyright
©2015
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-08395-7 doi
Call Number
HG6047.E43
Dewey Decimal Classification
332.63/28
Summary
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.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Series
SpringerBriefs in quantitative finance.
Available in Other Form
Print version: 9783319083940
Linked Resources
Online Access
Record Appears in
Online Resources > Ebooks
All Resources
All Resources
Table of Contents
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.
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.