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 ...
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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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Add this copy of Stochastic Modeling of Electricity.(V11) to cart. $137.63, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2008 by World Scientific Publishing Company.
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Fine. Sewn binding. Paper over boards. 352 p. Contains: Tables, black & white, Figures. Advanced Statistical Science and Applied Probability, 11. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Stochastic Modeling of Electricity.(V11) to cart. $139.02, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2008 by World Scientific Publishing Company.
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New. Sewn binding. Paper over boards. 352 p. Contains: Tables, black & white, Figures. Advanced Statistical Science and Applied Probability, 11. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Stochastic Modeling of Electricity and Related Markets to cart. $139.03, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2008 by World Scientific Publishing Company.
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New. Sewn binding. Paper over boards. 352 p. Contains: Unspecified, Tables, black & white, Figures. Advanced Statistical Science and Applied Probability, 11.
Add this copy of Stochastic Modeling of Electricity and Related Markets to cart. $170.56, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2008 by World Scientific Publishing Company.
