Modeling and Forecasting Electricity Loads and Prices / Wiley Finance Series (PDF)
A Statistical Approach
(Sprache: Englisch)
This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes--electricity prices and loads. It provides coverage of seasonal...
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This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes--electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk.
Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data.
The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.
Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data.
The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.
Autoren-Porträt von Rafal Weron
RAFAL WERON received his M.Sc. (1995) and Ph.D. (1999)degrees in applied mathematics from the Wroclaw University of
Technology (WUT), Poland. He currently holds a position of
Assistant Professor at WUT. His research focuses on risk management
and forecasting in the power markets and computational statistics
as applied to finance and insurance.
Rafal Weron is the co-author of three books and over 70 research
articles, book chapters, and conference papers. His professional
experience includes design of the risk management system for BOT
Holding (BOT Górnictwo i Energetyka S.A.), development of
insurance strategies for Polish Power Grid Co. (PSE S.A.) and
Hydro-storage Power Plants Co. (ESP S.A.), as well as
implementation of yield curve calibration and option pricing
software for LUKAS Bank S.A. (Crédit Agricole Group). He has
also been a consultant or executive teacher to a large number of
banks and corporations.
Bibliographische Angaben
- Autor: Rafal Weron
- 2007, 1. Auflage, 192 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470059990
- ISBN-13: 9780470059999
- Erscheinungsdatum: 30.01.2007
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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Sprache:
Englisch
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