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© 2015

Electricity Derivatives

Book

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. René Aïd
    Pages 1-4
  3. René Aïd
    Pages 5-25
  4. René Aïd
    Pages 27-63
  5. René Aïd
    Pages 65-88
  6. René Aïd
    Pages 89-90
  7. Back Matter
    Pages 91-97

About this book

Introduction

Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks.

Keywords

91G20,91G80,91G60 Electricity Derivatives Jump Processes Power Plants Swing Options Tolling Contracts

Authors and affiliations

  1. 1.Finance for Energy Market Research CentreEDF R&DClamartFrance

Bibliographic information

  • Book Title Electricity Derivatives
  • Authors René Aïd
  • Series Title SpringerBriefs in Quantitative Finance
  • Series Abbreviated Title SpringerBriefs in Quantitative Finance
  • DOI https://doi.org/10.1007/978-3-319-08395-7
  • Copyright Information The Author(s) 2015
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
  • Softcover ISBN 978-3-319-08394-0
  • eBook ISBN 978-3-319-08395-7
  • Series ISSN 2192-7006
  • Series E-ISSN 2192-7014
  • Edition Number 1
  • Number of Pages XIV, 97
  • Number of Illustrations 0 b/w illustrations, 28 illustrations in colour
  • Topics Quantitative Finance
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking