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A Survey of Commodity Markets and Structural Models for Electricity Prices · Study

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ChapterA Survey of Commodity Markets and Structural Models for Electricity Prices

Rene A. Carmona2013

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Chaptergreen2013

A Survey of Commodity Markets and Structural Models for Electricity Prices

Rene A. Carmona · Michael Coulon

100 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Electric Power System Optimization Energy Load and Power Forecasting

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Option valuation using the fast Fourier transform 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1991Common Factors Affecting Bond Returns 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2010Index Investment and Financialization of Commodities

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2012Electricity price modeling and asset valuation: a multi-fuel structural approach 2013A model for hedging load and price risk in the Texas electricity market 2014A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension 2013Electricity Derivatives Pricing with Forward-Looking Information 2021A survey of electricity spot and futures price models for risk management applications

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2013Quantitative Energy Financebook · 25 shared references 2021A survey of electricity spot and futures price models for risk management applicationsarticle · 14 shared references 2012Electricity price modeling and asset valuation: a multi-fuel structural approacharticle · 11 shared references 2011How much should we pay for interconnecting electricity markets? A real options approacharticle · 11 shared references 2013A model for hedging load and price risk in the Texas electricity marketarticle · 10 shared references 2009Modelling spikes and pricing swing options in electricity marketsarticle · 9 shared references

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Year2013

Typechapter

Published2013-08-02

VenueSpringer eBooks

Languageen

Citations100

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4614-7248-3_2

openalex_workW2113388958

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