Quantitative Methods for Electricity Trading and Risk Management : Advanced Mathematical and Statistical Methods for Energy Finance - S. Fiorenzani

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Quantitative Methods for Electricity Trading and Risk Management

Advanced Mathematical and Statistical Methods for Energy Finance

By: S. Fiorenzani

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Hardcover | 31 January 2006 | Edition Number 1

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196 Pages

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23.5 x 15.5 x 1.27

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This comprehensive book presents an accessible guide to Risk Management and Trading applications for the Electricity Markets in a practical manner. Various methodologies developed over the last few years are considered and current literature is reviewed. Fiorenzani emphasizes the relationships between trading, hedging and generation asset management. With its clear structure and well researched text, this is an invaluable asset to Investment Professionals, Research Analysts, Energy CEO's & Risk Management Professionals. It would also be an invaluable text for postgraduates in energy finance.

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You Can Find This Book In

Non-Fiction Industry & Industrial Studies Energy Industries & Utilities Business & Management Management & Management Techniques Management Decision Making Accounting & Finance Finance Banking Investment & Securities Business Mathematics & Systems Economics

Econometrics Economic Statistics Science Physics Macroeconomics Insurance & Actuarial Studies Corporate Finance

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Paperback

Published: 31st January 2006

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List of Tables	p. viii
List of Figures	p. ix
Introduction	p. xi
Distributional and Dynamic Features of Electricity Spot Prices
Liberalized Electricity Markets Organization	p. 3
The liberalization process	p. 3
Spot electricity exchanges organization	p. 4
Electricity derivatives markets: organized exchanges and OTC markets	p. 6
Electricity Price Driving Factors	p. 8
Price determination in a liberalized context	p. 8
Electricity demand driving factors	p. 12
Electricity supply driving factors	p. 14
Electricity Spot Price Dynamics and Statistical Features	p. 19
Preliminary data definitions	p. 19
Detecting periodic components in electricity prices	p. 22
Statistical properties of electricity prices	p. 30
Electricity Spot Price Stochastic Models
Electricity Modeling: General Features	p. 39
Scope of a financial model	p. 39
Econometric models versus purely probabilistic models	p. 40
Characteristics of an ideal model and state of the art	p. 41
Econometric Modeling of Electricity Prices	p. 43
Traditional dynamic regression models	p. 44
Transfer function models	p. 46
Capturing volatility effects: GARCH models	p. 48
Capturing long-memory effects in electricity price level and volatility: fractionally integrated models	p. 49
Probabilistic Modeling of Electricity Prices	p. 51
Traditional stochastic models	p. 52
More advanced and realistic models	p. 57
Semimartingales in financial modeling	p. 63
Electricity Derivatives: Main Typologies and Evaluation Problems
Electricity Derivatives: Main Typologies	p. 71
Exchange-traded derivatives and OTC derivatives	p. 71
Exotic options	p. 75
Options typically embedded in electricity physical contracts	p. 79
Electricity Derivatives: Valuation Problems	p. 83
Derivative pricing: the traditional approach	p. 83
The spot-forward price relationship in traditional and electricity markets	p. 85
Non-storability and market incompleteness	p. 88
Pricing and hedging in incomplete markets: basic principles	p. 89
Calibrating the pricing measure	p. 92
An equilibrium principle for pricing electricity assets in incomplete markets	p. 93
Electricity Derivatives: Numerical Methods for Derivatives Pricing	p. 95
Monte Carlo simulations	p. 95
The lattice approach	p. 98
Pricing electricity swaptions by means of Monte Carlo simulations	p. 104
Pricing swing options by means of trinomial tree forests	p. 106
Real Asset Modeling and Real Options: Theoretical Framework and Numerical Methods
Financial Optimization of Power Generation Activity	p. 111
Optimization problems and the real option approach	p. 111
Generation asset modeling: the spark spread method	p. 116
Generation asset modeling: the stochastic dynamic optimization approach	p. 117
Discrete time stochastic dynamic programing	p. 123
Framing and Solving the Optimization Problem	p. 127
Optimization problems in a deterministic environment	p. 127
Naive application of Monte Carlo methods	p. 129
Solving Bellman's problem	p. 130
Alternative solution methods: ordinal optimization	p. 134
Generation asset modeling: numerical results	p. 136
Electricity Risk Management: Risk Control Principles and Risk Measurement Techniques
Risk Definition and Mapping	p. 145
Market risk definition and basic principles	p. 145
Different risk factors and their mapping onto the company value-creation chain	p. 146
Risk and opportunity (enterprise risk attitude)	p. 150
Risk Measurement Methods	p. 152
Risk measures for financial trading portfolios	p. 152
Risk measures for physical trading portfolios	p. 161
On the coherence of risk measures	p. 163
Risk-Adjusted Planning in the Electricity Industry	p. 165
Production value and risk-return measures	p. 166
Survival performance level and extreme market events	p. 170
A practical application	p. 172
Bibliography	p. 176
Index	p. 179
Table of Contents provided by Ingram. All Rights Reserved.

Quantitative Methods for Electricity Trading and Risk Management

Advanced Mathematical and Statistical Methods for Energy Finance

At a Glance

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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