Quantitative Energy Finance

Part I. Surveys

1. A Review of Optimal Investment Rules in Electricity Generation
René Aïd

2. A Survey of Commodity Markets and Structural Models for Electricity Prices
René Carmona, Michael Coulon

3. Fourier-Based Valuation Methods in Mathematical Finance
Ernst Eberlein

4. Mathematics of Swing Options: A Survey
Jukka Lempa

Part II. Energy Spot Modelling

5. Inference for Markov Regime-Switching Models of Electricity Spot Prices
Joanna Janczura, Rafał Weron

6. Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes
Almut E. D. Veraart, Luitgard A. M. Veraart

7. Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward Spikes in the Framework of the Non-Markovian Approach
Valery A. Kholodnyi

Part III. Pricing of Derivatives

8. An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Álvaro Cartea, Pablo Villaplana

9. A Dynamic Lévy Copula Model for the Spark Spread
Thilo Meyer-Brandis, Michael Morgan

10. Constrained Density Estimation
Peter Laurence, Ricardo J. Pignol, Esteban G. Tabak

11. Electricity Options and Additional Information
Fred E. Benth, Richard Biegler-König, Rüdiger Kiesel

Keywords: Economics/Management Science, Finance/Investment/Banking, Quantitative Finance, Statistics for Business/Economics/Mathematical Finance/Insurance, Energy Policy, Economics and Management