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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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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 Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

Stochastic processes. --- Statistics. --- Financial risk management. --- Functional analysis. --- Renewable energy sources. --- Stochastic Processes. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Risk Management. --- Functional Analysis. --- Renewable Energy. --- Gestió del risc --- Anàlisi funcional --- Processos estocàstics --- Energies renovables

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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 --- Power resources. --- Statistics. --- Mathematics in Business, Economics and Finance. --- Natural Resource and Energy Economics. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Mathematics.

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The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward

Electric utilities --- Energy industries --- Stochastic models --- Mathematical models --- Electric utilities -- Mathematical models. --- Energy industries -- Mathematical models. --- Stochastic models. --- Electric Utilities --- Business & Economics --- Industries --- Mathematical models. --- Modèles stochastiques --- Modèles stochastiques --- Electric companies --- Electric light and power industry --- Electric power industry --- Models, Stochastic --- Power resources --- Electric industries --- Public utilities --- E-books --- Electric utilities - Mathematical models --- Energy industries - Mathematical models