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...

Key Features:Gives a detailed account of advanced stochastic models for spot, futures and option price dynamics in energy marketsGives a detailed analysis of electricity and gas futures prices, with an emphasis on market models (also known as LIBOR models).

In energy markets, the use of quanto options have increased significantly in the recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature and are suited for managing the joint price and volume risk in energy markets. Using an HJM...