April 2015
Intermediate to advanced
1064 pages
33h 41m
English
book
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
by Mark Cummins, Gianluca Fusai, Andrea Roncoroni
Content preview from Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
CHAPTER 14 How to Build Electricity Forward Curves
Ruggero Caldana,Gianluca FusaiAndrea Roncoroni
14.1 INTRODUCTION
The electricity forward curve (EFC) ft( · ) quoted in a given market at a point in time t is a mathematical function associating with each day in the future a price for the commitment to deliver one megawatt-hour for every hour of that specific day. In other terms, it is the term structure of electricity forward prices as quoted with daily granularity across the maturity dimension, which is represented by the dotted argument “·” in the expression ft( · ).1
EFCs are particularly useful for marking to market (i.e., pricing compatibly with market quotes) a standing portfolio of electricity-related positions of an industrial company or financial institution. Another important instance is the modelling of electricity price dynamics for the purpose of pricing contingent claims or monitoring the net exposure of a company. Strictu sensu any EFC is a purely mathematical abstraction in that actual market quotes refer to commitments to deliver over a time period as opposed to a single day. Popular maturities for which electricity exchanges provide traders with quotes are:
- full day
- week
- month
- quarter
- calendar year.
We may shortly say that each of these maturities is “quoted by the market”. However, several tailor-made contracts which trade over-the-counter (OTC) actually involve maturities other than those quoted by exchanges. Moreover, OTC quotes provided by brokers may ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.