Quantitative Methods for Electricity Trading and Risk Management: Advanced Mathematical and Statistical Methods for Energy Finance

✍ Scribed by Stefano Fiorenzani (auth.)

• Publisher: Palgrave Macmillan UK
• Year: 2006
• Tongue: English
• Leaves: 188
• Series: Finance and Capital Markets Series
• Category: Library

✦ Table of Contents

Front Matter....Pages i-xiii
Front Matter....Pages 1-1
Liberalized Electricity Markets Organization....Pages 3-7
Electricity Price Driving Factors....Pages 8-18
Electricity Spot Price Dynamics and Statistical Features....Pages 19-36
Front Matter....Pages 37-37
Electricity Modeling: General Features....Pages 39-42
Econometric Modeling of Electricity Prices....Pages 43-50
Probabilistic Modeling of Electricity Prices....Pages 51-67
Front Matter....Pages 69-69
Electricity Derivatives: Main Typologies....Pages 71-82
Electricity Derivatives: Valuation Problems....Pages 83-94
Electricity Derivatives: Numerical Methods for Derivatives Pricing....Pages 95-108
Front Matter....Pages 109-109
Financial Optimization of Power Generation Activity....Pages 111-126
Framing and Solving the Optimization Problem....Pages 127-141
Front Matter....Pages 143-143
Risk Definition and Mapping....Pages 145-151
Risk Measurement Methods....Pages 152-164
Risk-Adjusted Planning in the Electricity Industry....Pages 165-175
Back Matter....Pages 176-181

✦ Subjects

Macroeconomics/Monetary Economics//Financial Economics; Risk Management; Business Finance; Investments and Securities