Valuation and risk management in energy markets /
By: Swindle, Glen
Material type: BookDescription: x, 487 p. : ill. ; 26 cm.ISBN: 9781107036840Subject(s): Energy industries -- Finance | Commodity futures | Investments -- Mathematical models | Financial risk | BUSINESS & ECONOMICS / FinanceDDC classification: 332.64/4 Online resources: Location MapItem type | Home library | Call number | Status | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 332.644 SW VA (Browse shelf) | Available | T0027973 |
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332.644 HU FU Fundamentals of futures and options markets | 332.644 HU FU Fundamentals of futures and options markets | 332.644 KI TE Technical analysis : | 332.644 SW VA Valuation and risk management in energy markets / | 332.6440994 SI CO Commodity exporting countries and exchange rates : | 332.6440994 SI CO Commodity exporting countries and exchange rates : | 332.644241 SP HO How to profit in gold : |
Includes bibliographical references and index.
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.
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.