Stochastic Modeling Of Electricity And Related Markets - Advanced Series on Statistical Science & Applied Probability 11 (Hardback)
  • Stochastic Modeling Of Electricity And Related Markets - Advanced Series on Statistical Science & Applied Probability 11 (Hardback)
zoom

Stochastic Modeling Of Electricity And Related Markets - Advanced Series on Statistical Science & Applied Probability 11 (Hardback)

(author), (author), (author)
£123.00
Hardback 352 Pages / Published: 15/04/2008
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Publisher: World Scientific Publishing Co Pte Ltd
ISBN: 9789812812308
Number of pages: 352
Weight: 680 g
Dimensions: 229 x 155 x 20 mm

You may also be interested in...

Private Empire
Added to basket
£12.99
Paperback
SEIZING POWER
Added to basket
£23.99
Book
A Swamp Full of Dollars
Added to basket
The Squeeze
Added to basket
£12.99
Paperback
The Mining Valuation Handbook
Added to basket
Energy: The Basics
Added to basket
Nuclear Energy
Added to basket
Africa's New Oil
Added to basket
£12.99
Paperback
The Secret World of Oil
Added to basket
Taliban
Added to basket
£9.99
Paperback
The Oil Road
Added to basket
£12.99
Paperback
Brown Gold
Added to basket
£23.99
Hardback
Spills and Spin
Added to basket
£10.99
Paperback
Oil, Gas, and Mining
Added to basket

Reviews

Please sign in to write a review

Your review has been submitted successfully.