Stochastic Models for Prices Dynamics in Energy and Commodity Markets
portes grátis
Stochastic Models for Prices Dynamics in Energy and Commodity Markets
An Infinite-Dimensional Perspective
Benth, Fred Espen; Kruehner, Paul
Springer International Publishing AG
11/2024
250
Mole
9783031403699
15 a 20 dias
Descrição não disponível.
1 Introduction.- Part I: Mathematical Tools.- 2 Levy processes on Hilbert spaces.- 3 The Filipovic space and operators.- 4 Stochastic integration and partial differential equations.- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing.- 5 Spot models and forward pricing.- 6 Heath-Jarrow-Morton type models.- 7 Pricing of commodity and energy options.- Appendix A: Collection of some fundamental properties of the Filipovic space.
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Energy markets;commodity markets;mathematical finance;forward pricing;futures pricing;stochastic processes;HJM-approach;infinite dimensional stochastic analysis;option pricing;functional analysis;Levy process;risk management;spatial statistics;kriging;spot price
1 Introduction.- Part I: Mathematical Tools.- 2 Levy processes on Hilbert spaces.- 3 The Filipovic space and operators.- 4 Stochastic integration and partial differential equations.- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing.- 5 Spot models and forward pricing.- 6 Heath-Jarrow-Morton type models.- 7 Pricing of commodity and energy options.- Appendix A: Collection of some fundamental properties of the Filipovic space.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
