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Valuation and risk management in energy markets / Glen Swindle, Founder Scoville Risk Partners LLC.

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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 commo...

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Bibliographic Details
Online Access: Full Text (via Cambridge)
Main Author: Swindle, Glen
Format: Electronic eBook
Language:English
Published: New York, NY : Cambridge University Press, 2014.
Subjects:
Energy industries > Finance.
Commodity futures.
Investments > Mathematical models.
Financial risk.
Table of Contents:
  • 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.

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