Nonfiction | Science
Stochastic Modeling of Electricity and Related Markets
by FRED BENTH 2020-05-26 10:16:37
image1
COMPARE PRICE
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 imbal... Read more
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. Less
  • File size
  • Print pages
  • Publisher
  • Publication date
  • Language
  • ISBN
  • 9x6.1x0.8inches
  • 337
  • World Scientific Publishing Company
  • June 1, 2008
  • English
  • 9789812812308
autor-image
FRED BENTH
Author
...
Compare Prices
image
Buy USD 72.31
image
Buy CAD 205.65
image
Hard Cover
Buy USD 148.0
Available Discount
No Discount available
Related Books
view all
image1
Life and Habit:
image1
The Curious Book of Birds:
image1
Natural History of the Prairie Vole (Mammalian Genus Microtus) [KU. Vol. 1 No. 7]:
image1
The Subspecific Status of Two Central American Sloths:
image1
Cave Regions of the Ozarks and Black Hills(Geology):
image1
Florida and the Game Water-Birds:
image1
Luck, or Cunning, as the Main Means of Organic Modification by Samuel Butler:
image1
Symbolic Logic:
image1
Goethe's Theory of Colours:
image1
A Flight with the Swallows; Or, Little Dorothy's Dream:
image1
Life History of the Kangaroo Rat:
image1
Mammals From Southeastern Alaska:
image1
Sketches of Natural History of Ceylon:
image1
How It Works: Dealing in Simple Language With Steam, Electricity, Light, Heat, Sound, Hydraulics, Optics, Etc., and With Their Applications to Apparatus in Common Use:
image1
Récit d'une excursion de l'impératrice Marie-Louise aux glaciers de Savoie en juillet 1814 (French Edition)Geology):
image1
My Studio Neighbors:
image1
Humpback Whales in Glacier Bay National Monument, Alaska:
image1
Scientific Culture, and Other Essays Second Edition; With Additions:
image1
Whale Primer: With Special Attention to the California Gray Whale:
image1
The Methods of Glass-Blowing and of Working Silica in the Oxy-Gas Flame, for the Use of Chemical and Physical Students:
image1
Improved Queen-Rearing;:
image1
Fifty Years of Railway Life in England,Scotland and Ireland:
image1
Crops and Methods for Soil Improvement:
image1
Ice-Caves of France and Switzerland(GEOLOGY):
image1
Noteworthy Records of Bats From Nicaragua, With a Checklist of the Chiropteran Fauna of the Country (Classic Reprint):

Stay in touch.

© 2024 AMPLE READS