Managing energy risk an integrated view on power and other energy markets
Mathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for...
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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, England ; Hoboken, NJ :
John Wiley & Sons
c2007.
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| Edición: | 1st edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009644286306719 |
Tabla de Contenidos:
- Managing Energy Risk; Contents; Foreword; Preface; 1 Energy Markets; 1.1 The oil market; 1.1.1 Consumption, production and reserves; 1.1.2 Crude oil trading; 1.1.3 Refined oil products; 1.2 The natural gas market; 1.2.1 Consumption, production and reserves; 1.2.2 Natural gas trading; 1.2.3 Price formulas with oil indexation; 1.2.4 Liquefied natural gas; 1.3 The coal market; 1.3.1 Consumption, production and reserves; 1.3.2 Coal trading; 1.3.3 Freight; 1.3.4 Coal subsidies in Germany: BAFA-indexed prices; 1.4 The electricity market; 1.4.1 Consumption and production; 1.4.2 Electricity trading
- 1.4.3 Products in the electricity markets1.4.4 Energy exchanges; 1.5 The emissions market; 1.5.1 Kyoto Protocol; 1.5.2 EU emissions trading scheme; 1.5.3 Flexible mechanisms; 1.5.4 Products and market places; 1.5.5 Emissions trading in North America; 2 Energy Derivatives; 2.1 Forwards, futures and swaps; 2.1.1 Forward contracts; 2.1.2 Futures contracts; 2.1.3 Swaps; 2.2 "Plain vanilla" options; 2.2.1 The put-call parity and option strategies; 2.2.2 Black's futures price model; 2.2.3 Option pricing formulas; 2.2.4 Hedging options: the "Greeks"
- 2.2.5 Implied volatilities and the "volatility smile"2.2.6 Swaptions; 2.3 American and Asian options; 2.3.1 American options; 2.3.2 Asian options; 2.4 Commodity bonds and loans; 2.5 Multi-underlying options; 2.5.1 Basket options; 2.5.2 Spread options; 2.5.3 Quanto and composite options; 2.6 Spot price options; 2.6.1 Pricing spot price options; 2.6.2 Caps and floors; 2.6.3 Swing options; 2.6.4 Virtual storage; 3 Commodity Price Models; 3.1 Forward curves and the market price of risk; 3.1.1 Investment assets; 3.1.2 Consumption assets and convenience yield
- 3.1.3 Contango, backwardation and seasonality3.1.4 The market price of risk; 3.1.5 Derivatives pricing and the risk-neutral measure; 3.2 Commodity spot price models; 3.2.1 Geometric Brownian motion; 3.2.2 The one-factor Schwartz model; 3.2.3 The Schwartz-Smith model; 3.3 Stochastic forward curve models; 3.3.1 One-factor forward curve models; 3.3.2 A two-factor forward curve model; 3.3.3 A multi-factor exponential model; 3.4 Electricity price models; 3.4.1 The hourly forward curve; 3.4.2 The SMaPS model; 3.4.3 Regime-switching model; 3.5 Multi-commodity models; 3.5.1 Regression analysis
- 3.5.2 Correlation analysis3.5.3 Cointegration; 3.5.4 Model building; 4 Fundamental Market Models; 4.1 Fundamental price drivers in electricity markets; 4.1.1 Demand side; 4.1.2 Supply side; 4.1.3 Interconnections; 4.2 Economic power plant dispatch; 4.2.1 Thermal power plants; 4.2.2 Hydro power plants; 4.2.3 Optimisation methods; 4.3 Methodological approaches; 4.3.1 Merit order curve; 4.3.2 Optimisation models; 4.3.3 System dynamics; 4.3.4 Game theory; 4.4 Relevant system information for electricity market modelling; 4.4.1 Demand side; 4.4.2 Supply side; 4.4.3 Transmission system
- 4.4.4 Historical data for backtesting
