Books and Research for Electricity and Commodity Markets

Summary

The document gathers reading suggestions for learning about commodity markets, with an emphasis on electricity. The original question seeks resources on energy products, pricing, links to quantitative strategies, and research on forecasting power prices. The replies point readers to several books on energy valuation, electricity futures, stochastic market modeling, and electricity derivatives, as well as earlier recommendations referenced in the discussion.

This is a bibliography rather than a tutorial: it does not explain a pricing model, describe a forecasting method, or present empirical results. One reply observes that electricity differs from storable commodities, a distinction that motivates studying power markets separately. The recommendations can help structure further study, but the document does not assess the books’ coverage or compare their approaches. Its brief comment that little has changed in one area is an opinion, not evidence or a systematic review.

Key ideas

• Electricity markets have features that distinguish them from markets for storable commodities.
• The suggested references cover energy valuation, electricity futures, stochastic modeling, and derivatives.
• The document asks for research on electricity price prediction but does not supply or evaluate forecasting studies.
• The recommendations are pointers for further reading rather than a comparison of methods or evidence.

Tags

# Power market books for Quantitative Finance


# Power market books for Quantitative Finance












I am currently looking for some comprehensive books on commodities, particularly focusing on the power market. My goal is to better understand the various financial products involved, their pricing mechanisms, and how they can be integrated into traditional quantitative strategies.

Does anyone have any good references or books they could recommend? Additionally, if anyone knows of insightful articles that tackle the prediction of electricity prices, I would greatly appreciate those recommendations as well.

Thank you in advance for your help!

## Answer by Dimitri Vulis (score 3)

https://quant.stackexchange.com/a/83741

Commodities are a more diverse bunch than most asset classes, and electricity in particular differs from other stuff that one can easily store...

Look at the 3 mentioned here

Also:

Glen Swindle. Valuation and Risk Management in Energy Markets (2014)

Svetlana Borovkova, Helyette Geman. Analysis and Modelling of Electricity Futures Prices. 2006 https://doi.org/10.2202/1558-3708.1372 (not much has changed in 20 years)

## Answer by Rylan (score 1)

https://quant.stackexchange.com/a/83742

I'd like to add:

Stochastic Modeling of Electricity and Related Markets by Benth Benth and Koekebakker

Electricity Derivatives by Aïd

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.