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Viac informácií o knihe Multi layer model for correlated energy prices

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

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Anotácia knihy

In this booklet we develop an extension of the affine jump-diffusion modeling framework and use it to build an intuitive and tractable model of an energy price complex. The development is motivated by the need to model prices of electricity while capturing their dependence on the price of other energy commodities. Such a model is essential for valuing a range of typical derivatives traded in the electricity markets: cross-commodity spread options, cross-location spread options, fuel-switching powerplants, etc. We give an approximate pricing method for these derivatives together with precise error bound estimates.

Parametre knihy

• Celý názov: Multi layer model for correlated energy prices
• Autor: Slimane Grine
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 228
• EAN: 9783330085114
• ID: 16427881
• Nakladateľ: LAP Lambert Academic Publishing
• Hmotnosť: 358 g
• Rozmery: 220 × 150 × 14 mm
• Rok vydania: 2017

Obľúbené z iného súdka

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