Overview
- Provides a mathematical introduction to aspects of energy markets including risk management, derivative valuation, systemic risk, resource management, oligopolistic competition and modeling of technological changes
- Offers multi-disciplinary approaches to commodity and energy markets including applied mathematicians, probabilists, economists and industry practitioners
- Gives new mathematical techniques for energy finance, such as the concept of ambit fields and super replication via BSDEs
Part of the book series: Fields Institute Communications (FIC, volume 74)
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Table of contents (15 chapters)
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Front Matter
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Electricity and Related Markets
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Front Matter
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Dynamic Games in Commodity Markets
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Front Matter
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Keywords
About this book
This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject.
The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.
Editors and Affiliations
Bibliographic Information
Book Title: Commodities, Energy and Environmental Finance
Editors: René Aïd, Michael Ludkovski, Ronnie Sircar
Series Title: Fields Institute Communications
DOI: https://doi.org/10.1007/978-1-4939-2733-3
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media New York 2015
Hardcover ISBN: 978-1-4939-2732-6Published: 01 July 2015
Softcover ISBN: 978-1-4939-4987-8Published: 15 October 2016
eBook ISBN: 978-1-4939-2733-3Published: 30 June 2015
Series ISSN: 1069-5265
Series E-ISSN: 2194-1564
Edition Number: 1
Number of Pages: XII, 430
Number of Illustrations: 31 b/w illustrations, 90 illustrations in colour
Topics: Game Theory, Economics, Social and Behav. Sciences, Probability Theory and Stochastic Processes, Systems Theory, Control