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An introduction to models for the energy markets : the thinking behind econometric techniques and their application

Author: Ronald Huisman
Publisher: London : Risk Books, ©2009.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Transportation, storage, seasonality and settlement issues hardly figure in financial markets and their modelling. Yet, they are crucial to the working of energy markets. This title presents an  Read more...

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Document Type: Book
All Authors / Contributors: Ronald Huisman
ISBN: 1906348227 9781906348229
OCLC Number: 436639269
Description: xvii, 136 pages : illustrations ; 24 cm
Contents: List of Figures List of Tables About the Author Preface Acknowledgements 1 Data Analysis Summary statistics: average and standard deviation The histogram Summary statistics: skewness and kurtosis Distribution functions Why do we need models if we have distributions? 2 Models What to model: actual prices or log prices? Models Parameter estimation Concluding remarks 3 Standard Models for Prices and Volatility Characteristics of energy prices Mean-reversion models for energy prices Measuring volatility Concluding remarks 4 Beyond Mean Reversion Modelling price spikes Concluding remarks 5 Factor Models for Forward Prices The information embedded in forward prices Factor models The Kalman filter Estimating the parameters in a long-term-short-term model Any other factors? Concluding remarks 6 Extreme Value Theory Estimation procedure for the tail index Risk management Concluding remarks 7 Methods for Valuing Real Options Real options in energy contracts and real assets Black-Scholes related formulas A power plant as an option Option valuation with trees Incorporating operational constraints Least Squares Monte Carlo Concluding remarks References Index
Responsibility: by Ronald Huisman.

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