Valuation and Risk Management in Energy Markets
- Author: Glen Swindle, Scoville Risk Partners
- Date Published: March 2015
- availability: Available
- format: Paperback
- isbn: 9781107539884
Paperback
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Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.
Read more- Embeds practical considerations into the theoretical frameworks, yielding a balanced perspective on the role of mathematics in energy markets
- Is heavily data and graphically oriented, providing a concise perspective on the issues
- The focus is broad, with substantial material on essential qualitative and mechanical features of the markets, often from a statistical perspective
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×Product details
- Date Published: March 2015
- format: Paperback
- isbn: 9781107539884
- length: 498 pages
- dimensions: 255 x 178 x 25 mm
- weight: 0.95kg
- contains: 258 b/w illus. 5 tables
- availability: Available
Table of Contents
Part I. Introduction to Energy Commodities:
1. Context
2. Forwards and carry
3. Macro perspective
Part II. Basic Valuation and Hedging:
4. Risk-neutral valuation
5. Dynamics of forwards
6. Swaps books
Part III. Primary Valuation Issues:
7. Term structure of volatility
8. Skew
9. Correlation
Part IV. Multi-Factor Models:
10. Covariance, spot prices, and factor models
11. Gaussian exponential factor models
12. Modeling paradigms
Part V. Advanced Methods and Structures:
13. Natural gas storage
14. Tolling deals
15. Variable quantity swaps
Part VI. Additional Topics:
16. Control, risk metrics, and credit
17. Conclusions
Appendices.
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