| LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2013027353 |
| INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781107036840 |
| DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Call number |
332.64/4 |
| MAIN ENTRY--PERSONAL NAME |
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| Authors |
Swindle, Glen. |
| TITLE STATEMENT |
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| Title |
Valuation and risk management in energy markets / |
| Statement of responsibility, etc |
Glen Swindle. |
| PHYSICAL DESCRIPTION |
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| Extent |
x, 487 p. : |
| Other Details |
ill. ; |
| Size |
26 cm. |
| CONTENTS |
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| Contents |
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. |
| SUMMARY |
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| 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 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. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Energy industries |
| General |
Finance. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Commodity futures. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Investments |
| General |
Mathematical models. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Financial risk. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
BUSINESS & ECONOMICS / Finance. |
| ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://uowd.box.com/s/erf8ef475rmvuebm5wn6m7gtbp6wws1g |
| Public note |
Location Map |
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46887 |
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34565 |
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396 |