Commodities, Energy and Environmental Finance

• Corporate Author: SpringerLink (Online service)
• Other Authors: Aïd, René (Editor), Ludkovski, Michael (Editor), Sircar, Ronnie (Editor)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2015.
• Series: Fields Institute Communications, 74
• Subjects: Mathematics.; Game theory.; System theory.; Probabilities.; Game Theory, Economics, Social and Behav. Sciences.; Probability Theory and Stochastic Processes.; Systems Theory, Control.

This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during t...

Table of Contents:

• Financialization of the Commodity Markets (R. Carmona)
• Understanding the Tracking Errors of Commodity Leveraged ETFs (K. Guo, T. Leung)
• Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises? (D. Lautier, J. Ling, F. Raynaud)
• Margrabe Revisited (H. Tuenter)
• Cross-Commodity Modelling by Multivariate Ambit Fields (F. Benth, A. Veraart, O. Barndorff-Nielsen)
• Hedging Expected Losses on Derivatives in Electricity Futures Market (A. Nguyen Huu, N. Oudjane)
• Calibration of Electricity Price Models (O. Feron, E. Daboussi)
• Measuring the Competitiveness Benefits of Transmission Expansions in Wholesale Electricity Markets (F. Wolak)
• Incorporating Managerial Information into Real Option Valuation (S. Jaimungal, Y. Lawryshyn)
• Real Options with Regulatory Policy Uncertainty (M. Davison, C. Maxwell)
• A Hedged Monte Carlo Approach to Real Option Pricing (E. Brigatti, M. Souza, J. Zubelli)
• Technological Transition to Electric Mobility (R. Aid, I. Ben-Tahar)
• Game Theoretic Models for Energy Production (M. Ludkovski, R. Sircar)
• Design Analysis of Carbon Auction Market, Through Electricity Market Coupling (M. Bossy, N. Maizi, O. Pourtalier)
• Dynamic Cournot Duopolies Under Stochastic Demand (M. Ludkovski, X. Yang)
• Oligopoly Markets with Renewable Resources, Exploration and Evolving Extraction Costs with an Application to Energy Policy (A. Dasarathy, R. Sircar).