Titlebook: Electricity Derivatives; René A?d Book 2015 The Author(s) 2015 91G20,91G80,91G60.Electricity Derivatives.Jump Processes.Power Plants.Swing

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Derivatives,t.?. should be considered as the basis for more complex derivatives such as tolling contracts or swing options which were first mentioned in Sect.?.. Thus, I limit this section on spread options to a presentation of their different forms and on the cases where there is a closed-form formula or an analytical approximation.

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Conclusion,ed, from Gaussian mean-reversion processes to the cutting edge ambit fields, it seems that no modeling framework has escaped implementation in the electricity markets. But, I want to use this opportunity to propose some guidelines for future research. I currently see four major research streams.

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Electricity Derivatives978-3-319-08395-7Series ISSN 2192-7006 Series E-ISSN 2192-7014