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Valuation and risk management in energy markets

Author: Glen Swindle
Publisher: New York, NY : Cambridge University Press, 2014.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Swindle, Glen.
Valuation and risk management in energy markets
(DLC) 2013027353
(OCoLC)853313602
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Glen Swindle
ISBN: 9781139568302 1139568302
OCLC Number: 881236851
Description: 1 online resource (x, 487 pages) : illustrations
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.
Responsibility: Glen Swindle, Founder Scoville Risk Partners LLC.

Abstract:

Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice.  Read more...

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