語系:
繁體中文
English
說明(常見問題)
回圖書館首頁
手機版館藏查詢
登入
回首頁
切換:
標籤
|
MARC模式
|
ISBD
Stochastic models for prices dynamic...
~
Benth, Fred Espen.
FindBook
Google Book
Amazon
博客來
Stochastic models for prices dynamics in energy and commodity markets = an infinite-dimensional perspective /
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Stochastic models for prices dynamics in energy and commodity markets/ by Fred Espen Benth, Paul Kruhner.
其他題名:
an infinite-dimensional perspective /
作者:
Benth, Fred Espen.
其他作者:
Kruhner, Paul.
出版者:
Cham :Springer International Publishing : : 2023.,
面頁冊數:
ix, 250 p. :illustrations, digital ;24 cm.
內容註:
1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipović space and operators -- 4 Stochastic integration and partial differential equations -- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing -- 5 Spot models and forward pricing -- 6 Heath-Jarrow-Morton type models -- 7 Pricing of commodity and energy options -- Appendix A: Collection of some fundamental properties of the Filipović space.
Contained By:
Springer Nature eBook
標題:
Stochastic processes. -
電子資源:
https://doi.org/10.1007/978-3-031-40367-5
ISBN:
9783031403675
Stochastic models for prices dynamics in energy and commodity markets = an infinite-dimensional perspective /
Benth, Fred Espen.
Stochastic models for prices dynamics in energy and commodity markets
an infinite-dimensional perspective /[electronic resource] :by Fred Espen Benth, Paul Kruhner. - Cham :Springer International Publishing :2023. - ix, 250 p. :illustrations, digital ;24 cm. - Springer finance,2195-0687. - Springer finance..
1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipović space and operators -- 4 Stochastic integration and partial differential equations -- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing -- 5 Spot models and forward pricing -- 6 Heath-Jarrow-Morton type models -- 7 Pricing of commodity and energy options -- Appendix A: Collection of some fundamental properties of the Filipović space.
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 Filipović 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.
ISBN: 9783031403675
Standard No.: 10.1007/978-3-031-40367-5doiSubjects--Topical Terms:
520663
Stochastic processes.
LC Class. No.: QA274
Dewey Class. No.: 519.23
Stochastic models for prices dynamics in energy and commodity markets = an infinite-dimensional perspective /
LDR
:03413nmm a2200361 a 4500
001
2336263
003
DE-He213
005
20231116140936.0
006
m d
007
cr nn 008maaau
008
240402s2023 sz s 0 eng d
020
$a
9783031403675
$q
(electronic bk.)
020
$a
9783031403668
$q
(paper)
024
7
$a
10.1007/978-3-031-40367-5
$2
doi
035
$a
978-3-031-40367-5
040
$a
GP
$c
GP
041
0
$a
eng
050
4
$a
QA274
072
7
$a
PBT
$2
bicssc
072
7
$a
PBWL
$2
bicssc
072
7
$a
MAT029000
$2
bisacsh
072
7
$a
PBT
$2
thema
072
7
$a
PBWL
$2
thema
082
0 4
$a
519.23
$2
23
090
$a
QA274
$b
.B476 2023
100
1
$a
Benth, Fred Espen.
$3
2054532
245
1 0
$a
Stochastic models for prices dynamics in energy and commodity markets
$h
[electronic resource] :
$b
an infinite-dimensional perspective /
$c
by Fred Espen Benth, Paul Kruhner.
260
$a
Cham :
$b
Springer International Publishing :
$b
Imprint: Springer,
$c
2023.
300
$a
ix, 250 p. :
$b
illustrations, digital ;
$c
24 cm.
490
1
$a
Springer finance,
$x
2195-0687
505
0
$a
1 Introduction -- Part I: Mathematical Tools -- 2 Lévy processes on Hilbert spaces -- 3 The Filipović space and operators -- 4 Stochastic integration and partial differential equations -- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing -- 5 Spot models and forward pricing -- 6 Heath-Jarrow-Morton type models -- 7 Pricing of commodity and energy options -- Appendix A: Collection of some fundamental properties of the Filipović space.
520
$a
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 Filipović 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.
650
0
$a
Stochastic processes.
$3
520663
650
0
$a
Hilbert space.
$3
558371
650
1 4
$a
Stochastic Processes.
$3
906873
650
2 4
$a
Statistics in Business, Management, Economics, Finance, Insurance.
$3
3538572
650
2 4
$a
Risk Management.
$3
608953
650
2 4
$a
Functional Analysis.
$3
893943
650
2 4
$a
Renewable Energy.
$3
3591935
700
1
$a
Kruhner, Paul.
$3
3669254
710
2
$a
SpringerLink (Online service)
$3
836513
773
0
$t
Springer Nature eBook
830
0
$a
Springer finance.
$3
1620796
856
4 0
$u
https://doi.org/10.1007/978-3-031-40367-5
950
$a
Mathematics and Statistics (SpringerNature-11649)
筆 0 讀者評論
館藏地:
全部
電子資源
出版年:
卷號:
館藏
1 筆 • 頁數 1 •
1
條碼號
典藏地名稱
館藏流通類別
資料類型
索書號
使用類型
借閱狀態
預約狀態
備註欄
附件
W9462468
電子資源
11.線上閱覽_V
電子書
EB QA274
一般使用(Normal)
在架
0
1 筆 • 頁數 1 •
1
多媒體
評論
新增評論
分享你的心得
Export
取書館
處理中
...
變更密碼
登入