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Stochastic Modeling Of Electricity And Related Markets (Hardcover)
Loot Price: R3,676
Discovery Miles 36 760
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Stochastic Modeling Of Electricity And Related Markets (Hardcover)
Series: Advanced Series on Statistical Science & Applied Probability, 11
Expected to ship within 12 - 17 working days
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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.
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