Energy Pricing Models

Recent Advances, Methods, and Tools
2014. Auflage 2014
ISBN: 978-1-137-37734-0
Verlag: Palgrave MacMillan Us

Buch, Englisch, 273 Seiten, Format (B × H): 139 mm x 223 mm, Gewicht: 443 g

Following the liberalization of global energy markets, the world has witnessed a substantial growth in energy commodity trading. Moreover, prices and volatilities have significantly increased, partly due to geopolitical crises, but mostly resulting from increased participation of financial investors. Such newfound interest in energy markets has spawned greater demand for state-of-the-art models and methods necessary to understand the challenges related to trading and risk management.

Energy Pricing Models showcases original cutting-edge research to best illustrate the latest advances and future implications of trading in energy markets. Prokopczuk assembles an all-star team of leading academics and practitioners in order to provide a well-balanced analysis of the topic. This work is required reading for market practitioners wishing to gain greater insight into the field, as well as academics and researchers interested in learning more about the latest developments from an applied perspective.

Zielgruppe

Research

Autoren/Hrsg.

Prokopczuk, Marcel

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Geowissenschaften Umweltwissenschaften Umweltwissenschaften
• Wirtschaftswissenschaften Betriebswirtschaft Management
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Betriebliches Rechnungswesen

Inhaltsverzeichnis

Table of Contents 1. Efficient Pricing of Energy Derivatives; Anders B. Trolle 2. A Supply and Demand Based Energy Pricing Model; Takashi Kanamura 3. Joint Dynamics of American and European Oil Prices; Gamze Celik, Karl Frauendorfer, and Florentina Paraschiv 4. Energy Spread Modelling Using Copulas; Sjur Westgaard 5. Modeling and Estimating Electricity Futures: A Non-Gaussian Market Model Approach; Enzo Fanone 6. Hourly Resolution Forward Curves for Power: Statistical Modeling Meets Market Fundamentals; Michael Coulon, Christian Jacobsson, and Jonas Ströjby 7. Modeling Price Spikes in Electricity Markets the Impact of Load, Weather, and Capacity; Rangga Handika, Chi Truong, Stefan Trück, and Rafa? Weron 8. Indifference Pricing of Weather Futures Based on Electricity Futures; Fred Espen Benth, Stephen Ebbeler, and Rüdiger Kiesel

Über Autor(innen)

Fred Espen Benth, University of Oslo, Norway

Gamze Celik, Cantonal Bank of Zurich, Switzerland

Michael Coulon, University of Sussex, UK

Stephan Ebbeler, Independent Researcher

Enzo Fanone, Energetic Source SPA of Renova Group, Italy

Karl Frauendorfer, University of St. Gallen, Switzerland

Rangga Handika, Universitas Indonesia, Indonesia

Christian Jacobsson, Alpiq, Switzerland

Takashi Kanamura, Kyoto University, Japan

Rüdiger Kiesel, University Duisburg-Essen, Germany

Florentina Paraschiv, University of St. Gallen, Switzerland

Jonas Ströjby, Nordea Bank, Denmark

Anders B. Trolle, École Polytechnique Fédérale de Lausanne, Switzerland

Chi Truong, Macquarie University, Australia

Stefan Trück, Macquarie University, Australia

Rafa? Weron, Wroc?aw University of Technology, Poland

Sjur Westgaard, Norwegian University of Science and Technology, Norway