Titlebook: Quantitative Methods for Electricity Trading and Risk Management; Advanced Mathematica Stefano Fiorenzani Book 2006 Stefano Fiorenzani 2006

Inferior

Electricity Spot Price Dynamics and Statistical Features to the specific system and market structure of the country or geographic area. The natural conclusion is that the dynamics of electricity prices for a certain area cannot be fully generalized. However, there are common features which characterize the time evolution of electricity prices over hetero

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Probabilistic Modeling of Electricity Pricesnd Mandelbroat, or even at the beginning of the twentieth century with Bachelier. However, we can observe its massive diffusion after the publication of the famous Black–Scholes and Merton articles (1973) on option pricing and the subsequent growing importance of derivative pricing problems in finan

PURG

Electricity Derivatives: Main Typologiesigh-risk level is not always compatible with agents’ risk attitudes, and hence derivative instruments represent a necessary tool to reconcile agents’ economic exigencies with electricity markets’ natural characteristics.

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Electricity Derivatives: Numerical Methods for Derivatives Pricinges, at least if we concentrate on realistic pricing approaches. Not even the simplest plain-vanilla instruments can be priced realistically by means of a traditional Black–Scholes-type model, because of the particular features which characterize the stochastic dynamics of electricity spot and forwar

Entreaty

Financial Optimization of Power Generation Activityzation process of the electricity markets started, the electricity market was monopolistic; the government authority fixed power tariffs and the only uncertainty faced was exogenous demand and mechanical failures giving operational and demand risk top priority. Under a regulated regime, optimization

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Aerophagia

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Risk-Adjusted Planning in the Electricity Industry instruments which help management to understand and react promptly to unexpected market changes. Risk is not only a random noise that affects a firm’s economic performance, it is also a strategic opportunity which should be appropriately evaluated.