Electricity Derivatives
1st Edition
Published on 14. January 2015
XIV, 97 pages
978-3-319-08395-7 (ISBN)
Description
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks.
More details
Series
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XIV, 97 p. 28 illus. in color.
File size
4,02 MB
ISBN-13
978-3-319-08395-7 (9783319083957)
DOI
10.1007/978-3-319-08395-7
Schweitzer Classification
Other editions
Additional editions
Content
Introduction.- Electricity Markets.- Electricity Features.- Markets Microstructure.- Real Derivatives.- Conclusion.- Price Models.- Preliminary Remarks.- HJM Style Forward Curve Models.- One-Factor Spot Models.- Multi-Factor Spot Models.- Structural Models.- Derivatives.- Spreads.- Power Plants and Tollings.- Storage and Swings.- Retail Contracts.- Weather Derivatives.- Conclusion.
