Commodities, Energy and Environmental Finance
Editors: Aïd, René, Ludkovski, Michael, Sircar, Ronnie (Eds.)
Free Preview- 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
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- About this book
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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.
- Table of contents (15 chapters)
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Financialization of the Commodities Markets: A Non-technical Introduction
Pages 3-37
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Understanding the Tracking Errors of Commodity Leveraged ETFs
Pages 39-63
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Integration of Commodity Derivative Markets: Has It Gone Too Far?
Pages 65-90
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Margrabe Revisited
Pages 91-105
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Cross-Commodity Modelling by Multivariate Ambit Fields
Pages 109-148
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Table of contents (15 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Commodities, Energy and Environmental Finance
- Editors
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- René Aïd
- Michael Ludkovski
- Ronnie Sircar
- Series Title
- Fields Institute Communications
- Series Volume
- 74
- Copyright
- 2015
- Publisher
- Springer-Verlag New York
- Copyright Holder
- Springer Science+Business Media New York
- eBook ISBN
- 978-1-4939-2733-3
- DOI
- 10.1007/978-1-4939-2733-3
- Hardcover ISBN
- 978-1-4939-2732-6
- Softcover ISBN
- 978-1-4939-4987-8
- Series ISSN
- 1069-5265
- Edition Number
- 1
- Number of Pages
- XII, 430
- Number of Illustrations
- 31 b/w illustrations, 90 illustrations in colour
- Topics
