| Description |
1 online resource (xxix, 296 pages) : illustrations |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Energy Trading and Risk Management; Contents; Preface; Acknowledgments; About the Author; About the Contributors; Chapter 1 Energy Markets Fundamentals; 1.1 Physical Forward and Futures Markets; 1.2 Spot Market; 1.3 Intraday Market; 1.4 Balancing and Reserve Market; 1.5 Congestion Revenue Rights, Financial Transmission Rights, and Transmission Congestion Contracts; 1.6 Chapter Wrap-Up; References; Chapter 2 Quant Models in the Energy Markets: Role and Limitations; 2.1 Spot Prices; 2.1.1 Random Walk Jump-Diffusion Model; 2.1.2 Mean Reversion: Ornstein-Uhlenbeck Process 2.1.3 Mean Reversion: Schwartz Type 1 Stochastic Process2.1.4 Mean Reversion with Jumps; 2.1.5 Two-Factor Model; 2.1.6 Negative Prices; 2.2 Forward Prices; 2.2.1 Forward and Futures Markets; 2.2.2 Contango and Backwardation; 2.3 Chapter Wrap-Up; References; Chapter 3 Plain Vanilla Energy Derivatives; 3.1 Definition of Energy Derivatives; 3.2 Global Commodity Exchanges; 3.3 Energy Derivatives Pricing Models; 3.4 Settlement; 3.5 Energy Derivatives Quant Models: Role and Limitations; 3.6 Options; 3.6.1 Volatility; 3.7 Vanilla Options; 3.7.1 Option Style 3.7.2 Exchange-Traded and Over-the-Counter Options3.7.3 In-the-Money, At-the-Money, and Out-of-the-Money Options; 3.7.4 Put-Call Parity; 3.8 European Options; 3.9 American Options; 3.10 Swaps; 3.11 Swaps to Futures; 3.12 Chapter Wrap-Up; References; Chapter 4 Exotic Energy Derivatives; 4.1 Asian Options; 4.1.1 Classes of Asian Options; 4.1.2 Payoffs of Asian Options; 4.1.3 Solutions to Asian Options; 4.1.4 Asian Options in the Energy Markets; 4.2 Barrier Options; 4.2.1 Eight Types of Barrier Options; 4.2.2 Partial Barrier Options; 4.2.3 Solutions to Barrier Options 4.2.4 Barrier Options in the Energy Markets4.3 Digital Options; 4.3.1 Types of Digital Options; 4.3.2 Solutions to Digital Options; 4.3.3 Digital Options in the Energy Markets; 4.4 Real Options; 4.4.1 Real Options in the Electric Power Markets; 4.4.2 Case Study: Real Options in the Oil Markets; 4.4.3 Limitations of the Real Options Valuation Paradigm; 4.5 Multiasset Options; 4.5.1 Pricing Multiasset Options; 4.6 Spread Options; 4.6.1 Crack Spreads; 4.6.2 Spark Spreads; 4.6.3 Dark Spreads; 4.7 Perpetual American Options; 4.7.1 Perpetual American Options in the Power Industry 4.2.4 Barrier Options in the Energy Markets4.3 Digital Options; 4.3.1 Types of Digital Options; 4.3.2 Solutions to Digital Options; 4.3.3 Digital Options in the Energy Markets; 4.4 Real Options; 4.4.1 Real Options in the Electric Power Markets; 4.4.2 Case Study: Real Options in the Oil Markets; 4.4.3 Limitations of the Real Options Valuation Paradigm; 4.5 Multiasset Options; 4.5.1 Pricing Multiasset Options; 4.6 Spread Options; 4.6.1 Crack Spreads; 4.6.2 Spark Spreads; 4.6.3 Dark Spreads; 4.7 Perpetual American Options; 4.7.1 Perpetual American Options in the Power Industry 4.8 Compound Options4.8.1 Tolling Agreements: Example of Compound Options in Power Markets; 4.9 Swaptions; 4.9.1 Energy Swaptions; 4.10 Swing Options; 4.11 Chapter Wrap-Up; References; Chapter 5 Risk Management and Hedging Strategies; 5.1 Introduction to Hedging; 5.2 Price Risk; 5.3 Basis Risk; 5.3.1 Basis Risk Case Study; 5.3.2 Metallgesellchaft Case: Stack and Roll Hedging Disaster; 5.4 The Option "Greeks"; 5.5 Delta Hedging; 5.6 Gamma Hedging; 5.7 Vega Hedging; 5.8 Cross-Hedging Greeks; 5.9 Quant Models Used to Manage Energy Risk: Role and Limitations; 5.9.1 Regression Analysis 5.9.2 Stress Test. |
| Note |
"From stochastic pricing models for exotic derivatives to modern portfolio theory (MPT), energy portfolio management (EPM) to case studies dealing specifically with risk management challenges unique to wind and hydro-electric power, the book guides readers through the complex world of energy trading and risk management to help investors, executives, and energy professionals ensure profitability and optimal risk mitigation in every market climate."--Provided by publisher |
| Summary |
A leading authority presents a comprehensive overview of trading and risk management in the energy markets This new book from a respected consultant, lecturer, and former energy trader offers thorough coverage of energy markets and their principal applications in hedging risk, trading for profits, and diversifying investment portfolios. It covers exchange-traded as well as over-the-counter derivatives, including forwards, futures, and swaps for professionals in both the energy and financial industries. The book includes supplementary materials for use in classrooms, workshops, lecture. |
| Language |
English. |
| Subject |
Commodity exchanges.
|
|
Energy industries -- Risk management.
|
|
Hedging (Finance)
|
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Portfolio management.
|
|
Bourses de marchandises. |
|
Industries énergétiques -- Gestion du risque. |
|
Couverture (Finances) |
|
Gestion de portefeuille. |
|
commodity exchanges. |
|
Commodity exchanges |
|
Hedging (Finance) |
|
Portfolio management |
| Other Form: |
Print version: Mack, Iris Marie. Energy trading and risk management. Hoboken : John Wiley & Sons, 2014 9781118339336 (OCoLC)868079384 |
| ISBN |
9781118339367 (electronic book) |
|
1118339363 (electronic book) |
|
9781118638286 (electronic book) |
|
111863828X (electronic book) |
|
9781118339343 (electronic book) |
|
1118339347 (electronic book) |
|
9781306638555 |
|
1306638550 |
|
(hardcover) |
|
(hardcover) |
|
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