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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.
This volume is a collection of chapters covering the latest
developments in applications of financial mathematics and
statistics to topics in energy, commodity financial markets and
environmental economics. The research presented is based on the
presentations and discussions that took place during the Fields
Institute Focus Program on Commodities, Energy and Environmental
Finance in August 2013. The authors include applied mathematicians,
economists and industry practitioners, providing for a
multi-disciplinary spectrum of perspectives on the subject. The
volume consists of four sections: Electricity Markets; Real
Options; Trading in Commodity Markets; and Oligopolistic Models for
Energy Production. Taken together, the chapters give a
comprehensive summary of the current state of the art in
quantitative analysis of commodities and energy finance. The topics
covered include structural models of electricity markets,
financialization of commodities, valuation of commodity real
options, game-theory analysis of exhaustible resource management
and analysis of commodity ETFs. The volume also includes two survey
articles that provide a source for new researchers interested in
getting into these topics.
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