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Valuation and Risk Management in Energy Markets

Valuation and Risk Management in Energy Markets

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  • ISBN:9781107036840
  • Editorial: Cambridge University Press
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:494
  • Idiomas:Ingles,Inglés

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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 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.

Part I. Introduction to Energy Commodities: 1. Context; 2. Forwards and carry; 3. Macro perspective; Part II. Basic Valuation and Hedging: 4. Risk-neutral valuation; 5. Dynamics of forwards; 6. Swaps books; Part III. Primary Valuation Issues: 7. Term structure of volatility; 8. Skew; 9. Correlation; Part IV. Multi-Factor Models: 10. Covariance, spot prices, and factor models; 11. Gaussian exponential factor models; 12. Modeling paradigms; Part V. Advanced Methods and Structures: 13. Natural gas storage; 14. Tolling deals; 15. Variable quantity swaps; Part VI. Additional Topics: 16. Control, risk metrics, and credit; 17. Conclusions; Appendices.

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