Quantitative Methods for Electricity Trading and Risk Management

Part I. Distributional and Dynamic Features of Electricity Spot Prices

1. Liberalized Electricity Markets Organization
Stefano Fiorenzani

2. Electricity Price Driving Factors
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3. Electricity Spot Price Dynamics and Statistical Features
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Part II. Electricity Spot Price Stochastic Models

4. Electricity Modeling: General Features
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5. Econometric Modeling of Electricity Prices
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6. Probabilistic Modeling of Electricity Prices
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Part III. Electricity Derivatives: Main Typologies and Evaluation Problems

7. Electricity Derivatives: Main Typologies
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8. Electricity Derivatives: Valuation Problems
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9. Electricity Derivatives: Numerical Methods for Derivatives Pricing
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Part IV. Real Asset Modeling and Real Options: Theoretical Framework and Numerical Methods

10. Financial Optimization of Power Generation Activity
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11. Framing and Solving the Optimization Problem
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Part V. Electricity Risk Management: Risk Control Principles and Risk Measurement Techniques

12. Risk Definition and Mapping
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13. Risk Measurement Methods
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14. Risk-Adjusted Planning in the Electricity Industry
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Nyckelord: Economics, Macroeconomics/Monetary Economics//Financial Economics, Risk Management, Business Finance, Investments and Securities