Quantitative Methods for Electricity Trading and Risk Management: Advanced Mathematical and Statistical Methods for Energy Finance (Finance and Capital Markets Series)

This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management. Front Matter....Pages i-xiii Front Matter....Pages 1-1 Liberalized Electricity Markets Organization....Pages 3-7 Electricity Price Driving Factors....Pages 8-18 Electricity Spot Price Dynamics and Statistical Features....Pages 19-36 Front Matter....Pages 37-37 Electricity Modeling: General Features....Pages 39-42 Econometric Modeling of Electricity Prices....Pages 43-50 Probabilistic Modeling of Electricity Prices....Pages 51-67 Front Matter....Pages 69-69 Electricity Derivatives: Main Typologies....Pages 71-82 Electricity Derivatives: Valuation Problems....Pages 83-94 Electricity Derivatives: Numerical Methods for Derivatives Pricing....Pages 95-108 Front Matter....Pages 109-109 Financial Optimization of Power Generation Activity....Pages 111-126 Framing and Solving the Optimization Problem....Pages 127-141 Front Matter....Pages 143-143 Risk Definition and Mapping....Pages 145-151 Risk Measurement Methods....Pages 152-164 Risk-Adjusted Planning in the Electricity Industry....Pages 165-175 Back Matter....Pages 176-181 This comprehensive book presents an accessible guide to Risk Management and Trading applications for the Electricity Markets in a practical manner. Various methodologies developed over the last few years are considered and current literature is reviewed. Fiorenzani emphasizes the relationships between trading, hedging and generation asset management. With its clear structure and well researched text, this is an invaluable asset to Investment Professionals, Research Analysts, Energy CEO's & Risk Management Professionals. It would also be an invaluable text for postgraduates in energy finance