Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Ene
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Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy and Commodity Markets
Quantitative Energy Finance
Fred Espen Benth
•
Valery A. Kholodnyi
•
Peter Laurence
Editors
Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy and Commodity Markets
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Editors Fred Espen Benth Center of Mathematics for Applications University of Oslo Oslo, Norway
Valery A. Kholodnyi Verbund Trading AG Vienna, Austria
Peter Laurence Dipartimento di Matematica University di Roma, La Sapienza Rome, Italy
ISBN 978-1-4614-7247-6 ISBN 978-1-4614-7248-3 (eBook) DOI 10.1007/978-1-4614-7248-3 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2013940060 © Springer Science+Business Media New York 2014 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. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. 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. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Foreword
The combination of mathematical theory, numerical simulation and applications is the core mission of the Wolfgang Pauli Institute. As a private institution run by tenured university professors the WPI renders a service to the community by implementing and co-funding “thematic programmes”: the goal is that several international leading experts in a field of research with “interdisciplinary” aspects join forces and organize workshops and conferences around a theme. “F
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