
Energy Pricing Models
Recent Advances, Methods, and Tools
Marcel Prokopczuk(Author)
Palgrave MacMillan (Publisher)
Published on 18. December 2014
Book
Hardback
XVIII, 273 pages
978-1-137-37734-0 (ISBN)
Description
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.
More details
Edition
2014 edition
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
With dust jacket
Illustrations
XVIII, 273 p.
Dimensions
Height: 223 mm
Width: 139 mm
Thickness: 25 mm
Weight
443 gr
ISBN-13
978-1-137-37734-0 (9781137377340)
DOI
10.1007/978-1-137-37027-3
Schweitzer Classification
Other editions
Additional editions
Book
01/2014
Palgrave MacMillan
€117.69
The article will not be published
Person
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
Content
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