Stochastic Models for Prices Dynamics in Energy and Commodity Markets: An Infinite-Dimensional Perspective
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham
Springer
[2023]
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| Series: | Springer Finance
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| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034822199&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | ix, 250 Seiten Illustrationen |
| ISBN: | 9783031403668 9783031403699 |
| ISSN: | 1616-0533 |
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| 650 | 4 | |a Statistics | |
| 650 | 4 | |a Financial risk management | |
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Contents 1 Introduction. 1.1 Energy and Commodity Markets. 1.2 Stochastic Modelling Approaches to Price Risk. 1.3 The Infinite Dimensional View. 1.4 A Review of Stylized Features of Commodity and Energy Prices. 1.5 Outline and Positioning of the Book. 1.6 Some Frequently Used Notation. Part I J 1 4 6 10 19 23 Mathematical Tools Lévy processes on Hilbert Spaces. 2.1 Subordinated Hilbert Space Valued Lévy Processes . 2.2 Growth Behaviour. 2.3 Integrability, Mean and Covariance of Subordinated Lévy Processes. 2.4 Examples of Subordinated Wiener Processes. 2.4.1 Hilbert Space Valued Normal Inverse Gaussian Lévy Process. 2.4.2 -Stable Hilbert Space Valued Lévy Processes. 2.4.3 Hilbert Space Valued Variance Gamma Process. 2.5 The
Bivariate Case with Dependent Variables. 2.6 Bibliographical Notes. 27 28 32 3 The Filipovic Space and Operators. 3.1 Basic Properties of the Filipovic Space. 3.2 Operators on the Filipovic Space. 3.2.1 Integral Operators. 3.2.2 Hilbert-Schmidt Operators. 3.2.3 Covariance Operators. 3.2.4 Multiplication Operators. 3.3 Bibliographical Notes. 61 61 72 73 76 80 88 90 2 36 44 44 48 51 53 59 vii
Contents viii Stochastic Integration and Partial Differential Equations. 4.1 Stochastic Integration in HilbertSpace. 4.2 Representations on R"of StochasticIntegrals. 4.3 A Brief Account on Parabolic Stochastic Partial Differential Equations. 103 4.4 Bibliographical Notes. 4 Part II 5 93 93 97 106 Modelling the Forward Price Dynamics and Derivatives Pricing Spot Models and Forward Pricing. 5.1 Spot Price Models in Commodity Markets. 5.2 Pricing of Forwards. 5.3 Analysis of the Term Structure. 5.4 A Stochastic Partial Differential Equation for the Term Structure Dynamics. 126 5.5 Pricing Measures, Storage Costs and Convenience Yields for Commodities. 136 5.5.1 Constant Storage Costs and Convenience Yield. 5.5.2 A Stochastic Convenience Yield. 5.6 Bibliographical Notes. ill i i2 117 120 6 Heath-Jarrow-
Morton Type Models. 6.1 Musiela-type Forward Dynamics. 6.1.1 Simple HJM Models. 6.2 Simple Geometric HJM Models. 6.3 A Stochastic Volatility Model. 6.4 Markovian HJM Models. 6.5 Swaps: Forwards with Delivery Period. 6.6 Finite Factor HJM Models. 6.7 Modelling Under the Market Probability and Seasonality. 6.8 The Initial Forward Curve: Smoothing of the Term Structure. 6.9 Bibliographical Notes. 143 14. 144 151 159 167 170 175 182 189 194 7 Pricing of Commodity and Energy Options. 7.1 Arbitrage-free Pricing of Options. 7.2 Gaussian HJM-Models and the Black-76 Formula. 7.3 Fourier-Based Pricing of Options on Simple HJM-Models. 7.3.1 Geometric Models and Pricing by Fourier Techniques. 7.4 Pricing of Options on Simple HJM-Models with Stochastic Volatility. 219 7.5 Options and
Markovian Forward Models. 7.6 Bibliographical Remarks. 197 198 200 213 217 133 1 ?9 139 224 227
Contents ix A Collection of Some Fundamental Properties of the Filipovic Space. 231 References. 237 Index. 247 |
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| author | Benth, Fred Espen Krühner, Paul 1983- |
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| author_facet | Benth, Fred Espen Krühner, Paul 1983- |
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| dewey-search | 519.23 |
| dewey-sort | 3519.23 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV049476691 |
| illustrated | Illustrated |
| indexdate | 2025-01-30T23:00:11Z |
| institution | BVB |
| isbn | 9783031403668 9783031403699 |
| issn | 1616-0533 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034822199 |
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| owner | DE-355 DE-BY-UBR DE-29T |
| owner_facet | DE-355 DE-BY-UBR DE-29T |
| physical | ix, 250 Seiten Illustrationen |
| publishDate | 2023 |
| publishDateSearch | 2023 |
| publishDateSort | 2023 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer Finance |
| spelling | Benth, Fred Espen Verfasser (DE-588)171901983 aut Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective Fred Espen Benth, Paul Krühner Cham Springer [2023] ix, 250 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Springer Finance 1616-0533 Stochastic Processes Statistics in Business, Management, Economics, Finance, Insurance Risk Management Functional Analysis Renewable Energy Stochastic processes Statistics Financial risk management Functional analysis Renewable energy sources Krühner, Paul 1983- Verfasser (DE-588)1023506300 aut Erscheint auch als Online-Ausgabe 978-3-031-40367-5 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034822199&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Benth, Fred Espen Krühner, Paul 1983- Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective Stochastic Processes Statistics in Business, Management, Economics, Finance, Insurance Risk Management Functional Analysis Renewable Energy Stochastic processes Statistics Financial risk management Functional analysis Renewable energy sources |
| title | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective |
| title_auth | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective |
| title_exact_search | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective |
| title_full | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective Fred Espen Benth, Paul Krühner |
| title_fullStr | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective Fred Espen Benth, Paul Krühner |
| title_full_unstemmed | Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective Fred Espen Benth, Paul Krühner |
| title_short | Stochastic Models for Prices Dynamics in Energy and Commodity Markets |
| title_sort | stochastic models for prices dynamics in energy and commodity markets an infinite dimensional perspective |
| title_sub | An Infinite-Dimensional Perspective |
| topic | Stochastic Processes Statistics in Business, Management, Economics, Finance, Insurance Risk Management Functional Analysis Renewable Energy Stochastic processes Statistics Financial risk management Functional analysis Renewable energy sources |
| topic_facet | Stochastic Processes Statistics in Business, Management, Economics, Finance, Insurance Risk Management Functional Analysis Renewable Energy Stochastic processes Statistics Financial risk management Functional analysis Renewable energy sources |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034822199&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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