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Energy-Related Commodity Futures


Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product Description
The objective of this thesis is a precise mathematical description of energy-related commodity futures markets with respect to risk management and derivative pricing. First, we provide a rigorous multivariate statistical analysis of important commodity futures prices including electricity, oil, coal, gas and CO2 emission allowances based on generalized hyperbolic distributions. We show how a straightforward calculation of expected shortfalls based on such distributions is possible and that the view on risks of energy portfolios is more realistic compared to Normal distributions. We are also able to show that the introduction of CO2 certificates can be used for risk reduction. Further, we build stochastic term-structure models for the electricity futures market based on a no-arbitrage theory stemming from delivery periods in the futures contracts. We discuss the performance of the model in the German electricity market based on Brownian motions and more general Lévy process. Moreover, we introduce pricing algorithms for options on electricity futures based on the above mentioned distributions and asses their performance.
Product Specifications
SKU :COC13422
AuthorReik H. Börger
Number of Pages184
Publishing Year2010-04-12T00:00:00.000
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-23 00:00:00