Valuation and risk management in energy markets / Glen Swindle
- Author:
- Swindle, Glen
- Published:
- New York, NY : Cambridge University Press, 2014.
- Physical Description:
- x, 487 pages ; 26 cm
- Contents:
- Machine generated contents note: I.Introduction to Energy Commodities -- 1.Context -- 2.Forwards and Carry -- 3.Macro Perspective -- II.Basic Valuation and Hedging -- 4.Risk-Neutral Valuation -- 5.Dynamics 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.
- Subject(s):
- ISBN:
- 9781107036840 (hardback)
1107036844 (hardback) - Bibliography Note:
- Includes bibliographical references and index.
View MARC record | catkey: 11954196