Stochastic Modeling of Electricity and Related Markets (Advanced Series on Statistical Science & Applied Probability) 
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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. OrnsteinUhlenbeck 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. 
 
 
 
 



        

            
            

                
Publisher
                
Wspc; illustrated edition (14 April 2008)
            
            
            

                
Dimensions
                
15.24 x 2.06 x 22.86 cm
            
            
            

                
Language
                
English
            
            
            

                
Hardcover
                
352 pages
            
            
            

                
Book Type
                
Hardcover, Illustrated
            
            
            

                
ISBN-10
                
981281230X
            
            
            

                
ISBN-13
                
978-9812812308
            
            
        
         




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