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Bücher Englische Bücher Wissen & Bildung Naturwissenschaft, Medizin, Informatik, Technik Mathematik Wahrscheinlichkeitstheorie & Statistik Stochastic Models for Prices Dynamics in Energy and Commodity Markets
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Stochastic Models for Prices Dynamics in Energy and Commodity Markets
Fred Espen Benth, Paul Krühner (Gebundene Ausgabe, Englisch)
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Beschreibung
This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing… for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
17.11.2023
Sprache
Englisch
EAN
9783031403668
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Springer Finance
Sonderedition
Nein
Autor
Fred Espen Benth, Paul Krühner
Seitenanzahl
250
Einbandart
Gebundene Ausgabe
Buch Untertitel
An Infinite-Dimensional Perspective
Schlagwörter
Energy markets, commodity markets, mathematical finance, forward pricing, futures pricing, stochastic processes, HJM-approach, infinite dimensional stochastic analysis, option pricing, functional analysis, Levy process, risk management, spatial statistics, kriging, spot price
Thema-Inhalt
PBT - Wahrscheinlichkeitsrechnung und Statistik
PBWL - Stochastik
K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management
KJM - Management und Managementtechniken
GPQD - Risikobewertung
PBKF - Funktionalanalysis und Abwandlungen
THV - Alternative und erneuerbare Energiequellen und -technik
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer Nature Customer Service Center GmbH, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com
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