9783031403699 - Stochastic Models for Prices Dynamics in Energy and Commodity Markets: An Infinite-Dimensional Perspective (Springer Finance) von Benth, Fred Espen; Krühner, Paul (3 Ergebnisse)

Zustand: Muy bueno. : Esta monografía presenta una teoría avanzada para modelos de campos aleatorios en el tiempo y el espacio, analizados como procesos estocásticos en un espacio de Hilbert, con el fin de modelar la dinámica de los precios a plazo y de futuros en los mercados de energía y materias primas. La obra adopta y extiende el enfoque de Heath-Jarrow-Morton de la teoría de tipos de interés a un marco de dimensiones infinitas, permitiendo una modelización flexible de la estocasticidad de los precios a lo largo de la curva de estructura temporal.El texto introduce diversos modelos basados en ecuaciones diferenciales parciales estocásticas impulsadas por procesos de Lévy, destacando el uso del espacio de Filipovi? como un estado conveniente para las estructuras de términos. Es un recurso valioso tanto para investigadores y estudiantes de posgrado en finanzas matemáticas como para profesionales que buscan modelos de riesgo sofisticados y analíticamente tratables para los desafiantes mercados energéticos actuales. EAN: 9783031403699 Tipo: Libros Categoría: Negocios y Economía|Ciencias|Tecnología Título: Stochastic Models for Prices Dynamics in Energy and Commodity Markets Autor: Fred Espen Benth| Paul Krühner Editorial: Springer-Verlag GmbH Idioma: en Páginas: 259 Formato: tapa blanda.

Zustand: Hervorragend. Zustand: Hervorragend | Seiten: 260 | Sprache: Englisch | Produktart: Bücher | This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath¿Jarrow¿Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovi¿ space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets.In this book, the well-known Heath-Jarrow-Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovic space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.