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Palgrave Macmillan

Quantitative Methods for Electricity Trading and Risk Management

Advanced Mathematical and Statistical Methods for Energy Finance

  • Book
  • © 2006

Overview

Authors:
  1. Stefano Fiorenzani
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Distributional and Dynamic Features of Electricity Spot Prices

    1. Front Matter

      Pages 1-1
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    2. Liberalized Electricity Markets Organization

      • Stefano Fiorenzani
      Pages 3-7

    3. Electricity Price Driving Factors

      • Stefano Fiorenzani
      Pages 8-18

    4. Electricity Spot Price Dynamics and Statistical Features

      • Stefano Fiorenzani
      Pages 19-36

  3. Electricity Spot Price Stochastic Models

    1. Front Matter

      Pages 37-37
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    2. Electricity Modeling: General Features

      • Stefano Fiorenzani
      Pages 39-42

    3. Econometric Modeling of Electricity Prices

      • Stefano Fiorenzani
      Pages 43-50

    4. Probabilistic Modeling of Electricity Prices

      • Stefano Fiorenzani
      Pages 51-67

  4. Electricity Derivatives: Main Typologies and Evaluation Problems

    1. Front Matter

      Pages 69-69
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    2. Electricity Derivatives: Main Typologies

      • Stefano Fiorenzani
      Pages 71-82

    3. Electricity Derivatives: Valuation Problems

      • Stefano Fiorenzani
      Pages 83-94

    4. Electricity Derivatives: Numerical Methods for Derivatives Pricing

      • Stefano Fiorenzani
      Pages 95-108

  5. Real Asset Modeling and Real Options: Theoretical Framework and Numerical Methods

    1. Front Matter

      Pages 109-109
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    2. Financial Optimization of Power Generation Activity

      • Stefano Fiorenzani
      Pages 111-126

    3. Framing and Solving the Optimization Problem

      • Stefano Fiorenzani
      Pages 127-141

  6. Electricity Risk Management: Risk Control Principles and Risk Measurement Techniques

    1. Front Matter

      Pages 143-143
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    2. Risk Definition and Mapping

      • Stefano Fiorenzani
      Pages 145-151

    3. Risk Measurement Methods

      • Stefano Fiorenzani
      Pages 152-164

    4. Risk-Adjusted Planning in the Electricity Industry

      • Stefano Fiorenzani
      Pages 165-175
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Keywords

About this book

This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.

About the author

STEFANO FIORENZANI is responsible for quantitative research in the Strategy Department of Edison Spa in Milan, Italy. He holds a PhD in mathematical Finance and has worked for several years as a Quantitative Analyst and Researcher in the Italian energy sector and financial industry. He has several publications in Energy Risk Management and is a regular speaker at academic and professional conferences. Moreover, he has collaborated with prestigious universities such as University of Milan Bicocca, Italy and Athens University of Economics and Business, Greece.

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