Valuation and risk management in energy markets / Glen Swindle, Founder Scoville Risk Partners LLC.
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 commo...
Saved in:
| Online Access: |
Full Text (via Cambridge) |
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| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
New York, NY :
Cambridge University Press,
2014.
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| Subjects: |
MARC
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| 100 | 1 | |a Swindle, Glen. | |
| 245 | 1 | 0 | |a Valuation and risk management in energy markets / |c Glen Swindle, Founder Scoville Risk Partners LLC. |
| 264 | 1 | |a New York, NY : |b Cambridge University Press, |c 2014. | |
| 300 | |a 1 online resource (x, 487 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 505 | 0 | |a I -- Introduction to Energy Commodities 1 -- Context 2 -- Forwards and Carry 3 -- Macro Perspective II -- Basic Valuation and Hedging 4 -- Risk-Neutral Valuation 5 -- Dyanmics of Forwards 6 -- Swaps Books III -- Primary Valuation Issues 7 -- Term Structure of Volatility 8 -- Skew 9 -- Correlation IV -- Multifactor Models 10 -- Covariance, Spot Prices, and Factor Models 11 -- Gaussian Exponential Factor Models 12 -- Modeling Paradigms V -- Advanced Methods and Structures 13 -- Natural Gas Storage 14 -- Tolling Deals 15 -- Variable-Quantity Swaps VI -- Additional Topics 16 -- Control, Risk Metrics, and Credit 17 -- Conclusions Appendixes A -- Black-76 and Margrabe B -- Portfolio Mathematics C -- Gaussian Exponential Factor Models D -- Common Tradables. | |
| 650 | 0 | |a Energy industries |x Finance. | |
| 650 | 0 | |a Commodity futures. | |
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Financial risk. | |
| 650 | 7 | |a Commodity futures. |2 fast |0 (OCoLC)fst00869741 | |
| 650 | 7 | |a Energy industries |x Finance. |2 fast |0 (OCoLC)fst00910130 | |
| 650 | 7 | |a Financial risk. |2 fast |0 (OCoLC)fst01739663 | |
| 650 | 7 | |a Investments |x Mathematical models. |2 fast |0 (OCoLC)fst00978277 | |
| 776 | 0 | 8 | |i Print version: |a Swindle, Glen. |t Valuation and risk management in energy markets |z 9781107036840 |w (DLC) 2013027353 |w (OCoLC)853313602 |
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