Stochastic Modelling of Electricity and Related Markets
By:Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Published on 2008 by World Scientific
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.
This Book was ranked at 10 by Google Books for keyword Gas/Electricity.
Book ID of Stochastic Modelling of Electricity and Related Markets's Books is MHNpDQAAQBAJ, Book which was written byFred Espen Benth,Jurate Saltyte Benth,Steen Koekebakkerhave ETAG "vorP6KkuEe0"
Book which was published by World Scientific since 2008 have ISBNs, ISBN 13 Code is 9789812812308 and ISBN 10 Code is 981281230X
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