Quantitative Energy Finance : Recent Trends and Developments / edited by Fred Espen Benth, Almut E. D. Veraart.

Format:

Book

Author/Creator:

Benth, Fred Espen.

Contributor:

Veraart, Almut E. D.

Series:

Mathematics and Statistics Series

Language:

English

Subjects (All):

Social sciences--Mathematics.

Social sciences.

Power resources.

Statistics.

Mathematics in Business, Economics and Finance.

Natural Resource and Energy Economics.

Statistics in Business, Management, Economics, Finance, Insurance.

Local Subjects:

Mathematics in Business, Economics and Finance.

Natural Resource and Energy Economics.

Statistics in Business, Management, Economics, Finance, Insurance.

Physical Description:

1 online resource (270 pages)

Edition:

1st ed. 2024.

Place of Publication:

Cham : Springer Nature Switzerland : Imprint: Springer, 2024.

Summary:

Power markets are undergoing a major transformation from gas and oil-fueled generation toward renewable electricity production from wind and solar sources. Simultaneously, there is an increasing demand for electrification, coupled with long-term climate-induced weather changes. The uncertainties confronting energy market participants require sophisticated modelling techniques to effectively understand risk, many of which are covered in this book. Comprising invited papers by high-profile researchers, this volume examines the empirical aspects of forward and futures prices, uncovering patterns of noise factors in various European electricity markets. Additionally, it delves into the recent, influential classes of Hawkes and trawl processes, emphasizing their significance in energy markets. The impact of renewables on energy market prices is a pivotal concern for both producers and consumers. Mean-field games provide a powerful mathematical framework for this, and a dedicated chapter outlining their dynamics is included in the book. The book also explores structural financial products and their connection to climate risk as a risk management tool, underscoring the essential need for a comprehensive understanding of these products in the realm of "green finance," to which the energy industry is integral. Lastly, the book thoroughly analyzes spatial smoothing and power purchase (PPA) contracts, addressing central issues in energy system planning and financial operations. Tailored for researchers, PhD students, and industry energy analysts, this volume equips readers with insights and tools to navigate the constantly evolving energy market landscape. It serves as a sequel to the earlier Quantitative Energy Finance book, featuring all-new chapters.

Contents:

Part I Modelling of Energy Prices

Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets

Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing

Periodic Trawl Processes: Simulation, Statistical Inference and Applications in Energy Markets

Part II Energy Transition

Fuelling the Energy Transition: The Effect of German Wind and PV Electricity Infeed on TTF Gas Prices

A Mean-Field Game Model of Electricity Market Dynamics

PPA Investments of Minimal Variability

Part III Climate Risk

Climate Risk in Structural Credit Models.

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

9783031505973

3031505972

OCLC:

1426035141