Lavoisier S.A.S.
14 rue de Provigny
94236 Cachan cedex
FRANCE

Heures d'ouverture 08h30-12h30/13h30-17h30
Tél.: +33 (0)1 47 40 67 00
Fax: +33 (0)1 47 40 67 02


Url canonique : www.lavoisier.fr/livre/economie/quantitative-energy-finance/benth/descriptif_2789698
Url courte ou permalien : www.lavoisier.fr/livre/notice.asp?ouvrage=2789698

Quantitative Energy Finance, 2014 Modeling, Pricing, and Hedging in Energy and Commodity Markets

Langue : Anglais

Coordonnateurs : Benth Fred Espen, Kholodnyi Valery A., Laurence Peter

Couverture de l’ouvrage Quantitative Energy Finance

Finance 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.

A 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.

Fred Espen Benth is professor in mathematical finance at the Center of Mathematics for Applications (CMA), University of Oslo. The last 10 years or so his research interests have been on mathematical finance, stochastics and energy markets. He has published more than 70 papers in scientific journals like Mathematical Finance, SIAM Journal of Financial Mathematics, Advances in Applied Probability, Operations Research,  Bernoulli, Stochastics, Energy Economics, Finance and Stochastics, Applied Mathematical Finance, Energy Journal, Jounal of Energy Markets and Journal of Derivatives. In addition, he has co-authored two research monographs on energy and weather markets, as well as an introductory book on mathematical finance. Benth obtained in 1995 his PhD in applied mathematics at the Universities of Mannheim and Oslo. After that, he spent three years as a statistical consultant at the Norwegian Computing Center, working for the Norwegian oil industry, before he returned to academia for positions in Aarhus, Trondheim and Oslo. Apart from teaching graduate courses on stochastic analysis and mathematical finance at the University of Oslo, Benth gives regularly courses for the energy, finance and insurance industry. Benth is scientific leader of two major research projects on energy and weather financed by the Norwegian Research Council, and a fellow of the Wolfgang Pauli institute. His administrative duties include being associate editor in SIAM Journal of Financial Mathematics, Mathematical Methods in Operations Research, Journal of Energy Markets and IMA Journal of Management Mathematics. 

Valery A. Kholodnyi is a Principal Quantitative Analyst with Verbund Trading as well as a Pauli Fellow at the Wolfgang Pauli Institute. Prior to this, he was the Chief Science Officer and Vice President of Research and Development at Integrated Energy Services, Director of Research at TXU Energy Trading, Director of Quantitative Ana

First comprehensive collection of current research in the new emerging field of quantitative energy finance

Offers a sophisticated theoretical approach to problems of interest in energy risk management

Blends mathematical techniques with new developments in energy finance

Includes supplementary material: sn.pub/extras

Date de parution :

Ouvrage de 308 p.

17.8x25.4 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

137,14 €

Ajouter au panier

Date de parution :

Ouvrage de 308 p.

17.8x25.4 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

189,89 €

Ajouter au panier