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These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Operations Research --- Civil & Environmental Engineering --- Engineering & Applied Sciences --- Mathematics. --- Partial differential equations. --- Game theory. --- System theory. --- Calculus of variations. --- Probabilities. --- Environmental economics. --- Systems Theory, Control. --- Probability Theory and Stochastic Processes. --- Environmental Economics. --- Game Theory, Economics, Social and Behav. Sciences. --- Partial Differential Equations. --- Calculus of Variations and Optimal Control; Optimization. --- Economics --- Environmental quality --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Isoperimetrical problems --- Variations, Calculus of --- Maxima and minima --- Systems, Theory of --- Systems science --- Science --- Games, Theory of --- Theory of games --- Mathematical models --- Partial differential equations --- Math --- Environmental aspects --- Economic aspects --- Philosophy --- Distribution (Probability theory. --- Differential equations, partial. --- Mathematical optimization. --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Operations research --- Simulation methods --- System analysis --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Systems theory. --- Systems Theory --- Control

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Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance. The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over the world were invited to present the newest developments within the exciting and fast growing field of stochastic analysis. The present volume combines both papers from the invited speakers and contributions by the presenting lecturers. A special feature is the Memoirs that Kiyoshi Ito wrote for this occasion. These are valuable pages for both young and established researchers in the field.

Stochastic analysis --- Mathematical analysis. --- 517.1 Mathematical analysis --- Mathematical analysis --- Distribution (Probability theory. --- Mathematics. --- Global analysis (Mathematics). --- Mathematical statistics. --- Finance. --- Probability Theory and Stochastic Processes. --- Applications of Mathematics. --- Real Functions. --- Analysis. --- Statistical Theory and Methods. --- Quantitative Finance. --- Funding --- Funds --- Economics --- Currency question --- Mathematics --- Statistical inference --- Statistics, Mathematical --- Statistics --- Probabilities --- Sampling (Statistics) --- Analysis, Global (Mathematics) --- Differential topology --- Functions of complex variables --- Geometry, Algebraic --- Math --- Science --- Distribution functions --- Frequency distribution --- Characteristic functions --- Statistical methods --- Probabilities. --- Applied mathematics. --- Engineering mathematics. --- Functions of real variables. --- Analysis (Mathematics). --- Statistics . --- Economics, Mathematical . --- Real variables --- Engineering --- Engineering analysis --- Probability --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Econometrics --- Statistical analysis --- Statistical data --- Statistical science --- Methodology --- Itō, Kiyosi, --- Itō, K. --- Ito, Kiesi, --- Itō, Kiyoshi, --- 伊藤淸, --- 伊藤清,

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Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania.The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.

Stocks --- Weather derivatives. --- Prices. --- Stock prices --- Derivative securities --- Stockholder wealth --- Weather derivatives --- Prices --- E-books --- Actions (Titres de société) --- Prix

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Power markets are undergoing a major transformation from gas and oil-fueled generation toward renewable electricity production from wind and solar sources. Simultaneously, there is an increasing demand for electrification, coupled with long-term climate-induced weather changes. The uncertainties confronting energy market participants require sophisticated modelling techniques to effectively understand risk, many of which are covered in this book. Comprising invited papers by high-profile researchers, this volume examines the empirical aspects of forward and futures prices, uncovering patterns of noise factors in various European electricity markets. Additionally, it delves into the recent, influential classes of Hawkes and trawl processes, emphasizing their significance in energy markets. The impact of renewables on energy market prices is a pivotal concern for both producers and consumers. Mean-field games provide a powerful mathematical framework for this, and a dedicated chapter outlining their dynamics is included in the book. The book also explores structural financial products and their connection to climate risk as a risk management tool, underscoring the essential need for a comprehensive understanding of these products in the realm of "green finance," to which the energy industry is integral. Lastly, the book thoroughly analyzes spatial smoothing and power purchase (PPA) contracts, addressing central issues in energy system planning and financial operations. Tailored for researchers, PhD students, and industry energy analysts, this volume equips readers with insights and tools to navigate the constantly evolving energy market landscape. It serves as a sequel to the earlier Quantitative Energy Finance book, featuring all-new chapters.

Social sciences (general) --- Statistical science --- Relation between energy and economics --- sociale wetenschappen --- statistiek --- natuurlijke energiebronnen --- Social sciences --- Power resources. --- Statistics. --- Mathematics in Business, Economics and Finance. --- Natural Resource and Energy Economics. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Indústries energètiques --- Finances --- Inversions --- Mathematics. --- Finances.

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Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.

Electric utilities --- Electric companies --- Electric light and power industry --- Electric power industry --- Rates --- Mathematical models. --- Risk management -- Mathematical models. --- Finance. --- Energy policy. --- Energy and state. --- Economics, Mathematical. --- Statistics. --- Finance, general. --- Quantitative Finance. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Energy Policy, Economics and Management. --- Electric industries --- Energy industries --- Public utilities --- Statistics for Business, Management, Economics, Finance, Insurance. --- Funding --- Funds --- Economics --- Currency question --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Economics, Mathematical . --- Statistics . --- Mathematical economics --- Energy and state --- Power resources --- State and energy --- Industrial policy --- Energy conservation --- Methodology --- Government policy