The Handbook of Energy Trading.
To thrive in today's booming energy trading market you need cutting-edge knowledge of the latest energy trading strategies, backed up by rigorous testing and practical applicationUnique in its practical approach, The Handbook of Energy Trading is your definitive guide. It provides a valuable in...
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| Online Access: |
Full Text (via ProQuest) |
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| Main Author: | |
| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
New York :
John Wiley & Sons,
2012.
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| Edition: | 2nd ed. |
| Subjects: |
Table of Contents:
- The Handbook of Energy Trading; Contents; List of Figures; List of Tables; Preface; Acknowledgements; 1 Energy Markets as Efficient Markets; 1.1 The "Efficient Market Hypothesis"; 1.1.1 Trading Implications; 1.1.2 Informational and Mathematical Implications; 1.2 Mathematical Framework; 1.2.1 Information Set: s-algebras; 1.2.2 Conditional Expectation; 1.3 Martingale Hypothesis; 1.3.1 The Random Walk Hypothesis; 1.3.2 Sequences and Reversal, Cowles Jones Test: Theoretical Framework; 1.3.3 Variance Ratio Tests; 1.4 Violations of EMH and Behavioural Finance.
- 1.5 Information Asymmetries and Accelerating Processes1.6 The Peculiar Structure and Nature of Energy Commodities Markets; 1.7 EHM in Energy Commodities Markets: Some Evidence from Data; 1.7.1 Efficient Market Hypothesis: Testing the Intraday Returns; 1.8 Subordination, Trading Volume and Efficient Market Hypothesis; 1.9 Subordination and Stochastic Timescales; 2 Directional Trading; 2.1 Definitions and Main Features; 2.2 Market Products for Directional Trading; 2.3 Price Trend Determination; 2.3.1 Fundamental Trading Models; 2.3.2 Statistical Trading Models; 2.3.3 Technical Trading Models.
- 2.3.4 Case Studies2.4 Strategic Asset Allocation Methods; 2.4.1 Traditional Asset Allocation Models; 2.4.2 Single Period Asset Allocation Model; 2.4.3 Inter-temporal Asset Allocation Problems; 2.4.4 Solution Methods
- Dynamic Programming; 2.4.5 Asset Allocation with Capital Constraints; 3 Spread Trading; 3.1 Spread Definition and Identification; 3.2 Non-Stationarity and Cointegration; 3.3 Empirical Analysis of Energy Spread Trading Strategies; 3.4 Empirical Analysis of Energy Spreads and Spread Trading Strategies; 3.4.1 Cross Commodities Spread Trading (Spark Spread)
- 3.4.2 Time Spreads on Brent3.4.3 Location Spread: Italy vs. Germany; 3.5 Combining Directional and Spread Trading Strategies; 4 Options and Non-Linear Derivatives; 4.1 The Essence of Non-Linearity; 4.1.1 Factors that Influence Option Value; 4.1.2 Option Traders; 4.1.3 Energy Option Markets; 4.2 Exotic Options; 4.3 Combinations; 4.4 Value Bounds and Parity Relationship; 4.5 Basics on Option Pricing; 4.6 The Greeks; 4.6.1 Delta and Delta Hedging; 4.6.2 Gamma; 4.6.3 Theta; 4.6.4 Vega; 4.7 Adjusting the Continuous Time Dynamic Hedging Framework; 4.7.1 Discrete? and Extreme Market Moves.
- 4.7.2 Gamma and Shadow Gamma4.7.3 Vega and Volatility Surface Movements; 4.7.4 Theta, and the Greek's Importance for Exotic Option Traders; 4.7.5 Futures and Forwards to Hedge the Risk: Structured Products; 4.8 Case Study; 5 Structured Products on Energy; 5.1 Structured Products on Energy: Main Typology; 5.2 Retail Structured Products; 5.2.1 Profiled Forward Contracts; 5.2.2 Full Requirements Contracts; 5.3 Wholesale Structured Products; 5.3.1 General Pricing Issues on Structured Products; 5.3.2 Virtual Power Plants: Structure and Pricing Techniques.