European University Institute Library

Valuation and risk management in energy markets, Glen Swindle

eng

index present

non fiction

Valuation and risk management in energy markets

electronic resource

dictionaries

881236851

Glen Swindle

Cambridge books online

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--, Provided by Publisher

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

Valuation & risk management in energy markets