Electricity Derivatives
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods us
- PDF / 3,990,728 Bytes
- 107 Pages / 439.37 x 666.142 pts Page_size
- 68 Downloads / 302 Views
René Aïd
Electricity Derivatives
SpringerBriefs in Quantitative Finance Series editors Peter Bank, Berlin, Germany Pauline Barrieu, London, UK Lorenzo Bergomi, Paris, France Jakša Cvitanic, Nice Cedex 3, France Matheus Grasselli, Toronto, Canada Steven Kou, Singapore, Singapore Mike Ludkovski, Santa Barbara, USA Rama Cont, London, UK Nizar Touzi, Palaiseau Cedex, France Vladimir Piterbarg, London, UK
More information about this series at http://www.springer.com/series/8784
René Aïd
Electricity Derivatives
123
René Aïd Finance for Energy Market Research Centre EDF R&D Clamart France
ISSN 2192-7006 ISSN 2192-7014 (electronic) SpringerBriefs in Quantitative Finance ISBN 978-3-319-08394-0 ISBN 978-3-319-08395-7 (eBook) DOI 10.1007/978-3-319-08395-7 Library of Congress Control Number: 2014958978 Mathematics Subject Classification: 91G20, 91G80, 91G60 JEL Classification: G12, G13 Springer Cham Heidelberg New York Dordrecht London © The Author(s) 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer International Publishing AG Switzerland is part of Springer Science+Business Media (www.springer.com)
A mon père, M. Mahand Aïd et à ma mère, Mme Ferroudja Mohellebi.
Foreword I
The electricity market is currently entering a period of significant changes with the development of intermittent renewable energies and demand-response mechanisms. Already quite complex to manage because electricity cannot be stored at reasonable cost and because electricity follows all available paths (according to the Kirchhoff’s principles), the laws of the market and the pricing system are entering a new era of development. The questions dealt with are quite complex on a mathematical standpoint with high level optimization problems. Do not be afraid: several mathematical formulae appear in the text. Nevertheless, these questions are practicable and really usable by traders and the utilities market. It is not an academic book, it is a book for the industry.
Data Loading...