Stochastic Models for Prices Dynamics in Energy and Commodity Markets

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

An Infinite-Dimensional Perspective

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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 ...