{"product_id":"managing-energy-risk-an-integrated-view-on-power-and-other-energy-markets-425-the-wiley-finance-series-9780470029626","title":"Managing Energy Risk An Integrated View on Power","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eMathematical techniques for trading and risk management. Managing Energy Risk  closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eForeword.\u003c\/b\u003e  \u003cp\u003e\u003cb\u003ePreface.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Energy Markets.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 The oil market.\u003c\/p\u003e \u003cp\u003e1.1.1 Consumption, production and reserves.\u003c\/p\u003e \u003cp\u003e1.1.2 Crude oil trading.\u003c\/p\u003e \u003cp\u003e1.1.3 Refined oil products.\u003c\/p\u003e \u003cp\u003e1.2 The natural gas market.\u003c\/p\u003e \u003cp\u003e1.2.1 Consumption, production and reserves.\u003c\/p\u003e \u003cp\u003e1.2.2 Natural gas trading.\u003c\/p\u003e \u003cp\u003e1.2.3 Price formulas with oil indexation.\u003c\/p\u003e \u003cp\u003e1.2.4 Liquefied natural gas.\u003c\/p\u003e \u003cp\u003e1.3 The coal market.\u003c\/p\u003e \u003cp\u003e1.3.1 Consumption, production and reserves.\u003c\/p\u003e \u003cp\u003e1.3.2 Coal trading.\u003c\/p\u003e \u003cp\u003e1.3.3 Freight.\u003c\/p\u003e \u003cp\u003e1.3.4 Coal subsidies in Germany: BAFA-indexed prices.\u003c\/p\u003e \u003cp\u003e1.4 The electricity market.\u003c\/p\u003e \u003cp\u003e1.4.1 Consumption and production.\u003c\/p\u003e \u003cp\u003e1.4.2 Electricity trading.\u003c\/p\u003e \u003cp\u003e1.4.3 Products in the electricity markets.\u003c\/p\u003e \u003cp\u003e1.4.4 Energy exchanges.\u003c\/p\u003e \u003cp\u003e1.5 The emissions market.\u003c\/p\u003e \u003cp\u003e1.5.1 Kyoto Protocol.\u003c\/p\u003e \u003cp\u003e1.5.2 EU emissions trading scheme.\u003c\/p\u003e \u003cp\u003e1.5.3 Flexible mechanisms.\u003c\/p\u003e \u003cp\u003e1.5.4 Products and market places.\u003c\/p\u003e \u003cp\u003e1.5.5 Emissions trading in North America.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Energy Derivatives.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Forwards, futures and swaps.\u003c\/p\u003e \u003cp\u003e2.1.1 Forward contracts.\u003c\/p\u003e \u003cp\u003e2.1.2 Futures contracts.\u003c\/p\u003e \u003cp\u003e2.1.3 Swaps.\u003c\/p\u003e \u003cp\u003e2.2 “Plain vanilla” options.\u003c\/p\u003e \u003cp\u003e2.2.1 The put–call parity and option strategies.\u003c\/p\u003e \u003cp\u003e2.2.2 Black’s futures price model.\u003c\/p\u003e \u003cp\u003e2.2.3 Option pricing formulas.\u003c\/p\u003e \u003cp\u003e2.2.4 Hedging options: the “Greeks”.\u003c\/p\u003e \u003cp\u003e2.2.5 Implied volatilities and the “volatility smile”.\u003c\/p\u003e \u003cp\u003e2.2.6 Swaptions.\u003c\/p\u003e \u003cp\u003e2.3 American and Asian options.\u003c\/p\u003e \u003cp\u003e2.3.1 American options.\u003c\/p\u003e \u003cp\u003e2.3.2 Asian options.\u003c\/p\u003e \u003cp\u003e2.4 Commodity bonds and loans.\u003c\/p\u003e \u003cp\u003e2.5 Multi-underlying options.\u003c\/p\u003e \u003cp\u003e2.5.1 Basket options.\u003c\/p\u003e \u003cp\u003e2.5.2 Spread options.\u003c\/p\u003e \u003cp\u003e2.5.3 Quanto and composite options.\u003c\/p\u003e \u003cp\u003e2.6 Spot price options.\u003c\/p\u003e \u003cp\u003e2.6.1 Pricing spot price options.\u003c\/p\u003e \u003cp\u003e2.6.2 Caps and floors.\u003c\/p\u003e \u003cp\u003e2.6.3 Swing options.\u003c\/p\u003e \u003cp\u003e2.6.4 Virtual storage.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Commodity Price Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Forward curves and the market price of risk.\u003c\/p\u003e \u003cp\u003e3.1.1 Investment assets.\u003c\/p\u003e \u003cp\u003e3.1.2 Consumption assets and convenience yield.\u003c\/p\u003e \u003cp\u003e3.1.3 Contango, backwardation and seasonality.\u003c\/p\u003e \u003cp\u003e3.1.4 The market price of risk.\u003c\/p\u003e \u003cp\u003e3.1.5 Derivatives pricing and the risk-neutral measure.\u003c\/p\u003e \u003cp\u003e3.2 Commodity spot price models.\u003c\/p\u003e \u003cp\u003e3.2.1 Geometric Brownian motion.\u003c\/p\u003e \u003cp\u003e3.2.2 The one-factor Schwartz model.\u003c\/p\u003e \u003cp\u003e3.2.3 The Schwartz–Smith model.\u003c\/p\u003e \u003cp\u003e3.3 Stochastic forward curve models.\u003c\/p\u003e \u003cp\u003e3.3.1 One-factor forward curve models.\u003c\/p\u003e \u003cp\u003e3.3.2 A two-factor forward curve model.\u003c\/p\u003e \u003cp\u003e3.3.3 A multi-factor exponential model.\u003c\/p\u003e \u003cp\u003e3.4 Electricity price models.\u003c\/p\u003e \u003cp\u003e3.4.1 The hourly forward curve.\u003c\/p\u003e \u003cp\u003e3.4.2 The SMaPS model.\u003c\/p\u003e \u003cp\u003e3.4.3 Regime-switching model.\u003c\/p\u003e \u003cp\u003e3.5 Multi-commodity models.\u003c\/p\u003e \u003cp\u003e3.5.1 Regression analysis.\u003c\/p\u003e \u003cp\u003e3.5.2 Correlation analysis.\u003c\/p\u003e \u003cp\u003e3.5.3 Cointegration.\u003c\/p\u003e \u003cp\u003e3.5.4 Model building.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Fundamental Market Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Fundamental price drivers in electricity markets.\u003c\/p\u003e \u003cp\u003e4.1.1 Demand side.\u003c\/p\u003e \u003cp\u003e4.1.2 Supply side.\u003c\/p\u003e \u003cp\u003e4.1.3 Interconnections.\u003c\/p\u003e \u003cp\u003e4.2 Economic power plant dispatch.\u003c\/p\u003e \u003cp\u003e4.2.1 Thermal power plants.\u003c\/p\u003e \u003cp\u003e4.2.2 Hydro power plants.\u003c\/p\u003e \u003cp\u003e4.2.3 Optimisation methods.\u003c\/p\u003e \u003cp\u003e4.3 Methodological approaches.\u003c\/p\u003e \u003cp\u003e4.3.1 Merit order curve.\u003c\/p\u003e \u003cp\u003e4.3.2 Optimisation models.\u003c\/p\u003e \u003cp\u003e4.3.3 System dynamics.\u003c\/p\u003e \u003cp\u003e4.3.4 Game theory.\u003c\/p\u003e \u003cp\u003e4.4 Relevant system information for electricity market modelling.\u003c\/p\u003e \u003cp\u003e4.4.1 Demand side.\u003c\/p\u003e \u003cp\u003e4.4.2 Supply side.\u003c\/p\u003e \u003cp\u003e4.4.3 Transmission system.\u003c\/p\u003e \u003cp\u003e4.4.4 Historical data for backtesting.\u003c\/p\u003e \u003cp\u003e4.4.5 Information sources.\u003c\/p\u003e \u003cp\u003e4.5 Application of electricity market models.\u003c\/p\u003e \u003cp\u003e4.6 Gas market models.\u003c\/p\u003e \u003cp\u003e4.6.1 Demand side.\u003c\/p\u003e \u003cp\u003e4.6.2 Supply side.\u003c\/p\u003e \u003cp\u003e4.6.3 Transport.\u003c\/p\u003e \u003cp\u003e4.6.4 Storage.\u003c\/p\u003e \u003cp\u003e4.6.5 Portfolio optimisation.\u003c\/p\u003e \u003cp\u003e4.6.6 Formulation of the market model.\u003c\/p\u003e \u003cp\u003e4.6.7 Application of gas market models.\u003c\/p\u003e \u003cp\u003e4.7 Market models for oil, coal, and CO2 markets.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Electricity Retail Products.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Interaction of wholesale and retail markets.\u003c\/p\u003e \u003cp\u003e5.2 Retail products.\u003c\/p\u003e \u003cp\u003e5.2.1 Common full service contracts.\u003c\/p\u003e \u003cp\u003e5.2.2 Indexed contracts.\u003c\/p\u003e \u003cp\u003e5.2.3 Partial delivery contracts.\u003c\/p\u003e \u003cp\u003e5.2.4 Portfolio management.\u003c\/p\u003e \u003cp\u003e5.2.5 Supplementary products.\u003c\/p\u003e \u003cp\u003e5.3 Sourcing.\u003c\/p\u003e \u003cp\u003e5.3.1 Business-to-business (B2B).\u003c\/p\u003e \u003cp\u003e5.3.2 Business-to-consumer (B2C).\u003c\/p\u003e \u003cp\u003e5.3.3 Small accounts.\u003c\/p\u003e \u003cp\u003e5.3.4 Municipalities and reseller.\u003c\/p\u003e \u003cp\u003e5.4 Load forecasting.\u003c\/p\u003e \u003cp\u003e5.5 Risk premium.\u003c\/p\u003e \u003cp\u003e5.5.1 Price validity period.\u003c\/p\u003e \u003cp\u003e5.5.2 Balancing power.\u003c\/p\u003e \u003cp\u003e5.5.3 Credit risk.\u003c\/p\u003e \u003cp\u003e5.5.4 Price–volume correlation.\u003c\/p\u003e \u003cp\u003e5.5.5 Strict risk premiums.\u003c\/p\u003e \u003cp\u003e5.5.6 Hourly price profile risk.\u003c\/p\u003e \u003cp\u003e5.5.7 Volume risk.\u003c\/p\u003e \u003cp\u003e5.5.8 Operational risk.\u003c\/p\u003e \u003cp\u003e5.5.9 Risk premium summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Risk Management.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Market price exposure.\u003c\/p\u003e \u003cp\u003e6.1.1 Delta position.\u003c\/p\u003e \u003cp\u003e6.1.2 Variance minimising hedging.\u003c\/p\u003e \u003cp\u003e6.2 Value-at-Risk and further risk measures.\u003c\/p\u003e \u003cp\u003e6.2.1 Definition of Value-at-Risk.\u003c\/p\u003e \u003cp\u003e6.2.2 Parameters of the Value-at-Risk measure.\u003c\/p\u003e \u003cp\u003e6.2.3 Computation methods.\u003c\/p\u003e \u003cp\u003e6.2.4 Liquidity-adjusted Value-at-Risk.\u003c\/p\u003e \u003cp\u003e6.2.5 Estimating volatilities and correlations.\u003c\/p\u003e \u003cp\u003e6.2.6 Backtesting.\u003c\/p\u003e \u003cp\u003e6.2.7 Further risk measures.\u003c\/p\u003e \u003cp\u003e6.3 Credit risk.\u003c\/p\u003e \u003cp\u003e6.3.1 Legal risk.\u003c\/p\u003e \u003cp\u003e6.3.2 Quantifying credit risk.\u003c\/p\u003e \u003cp\u003e6.3.3 Credit rating.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendices.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Mathematical background.\u003c\/p\u003e \u003cp\u003eA.1 Econometric methods.\u003c\/p\u003e \u003cp\u003eA.1.1 Linear regression.\u003c\/p\u003e \u003cp\u003eA.1.2 Stationary time series and unit root tests.\u003c\/p\u003e \u003cp\u003eA.1.3 Principal component analysis.\u003c\/p\u003e \u003cp\u003eA.1.4 Kalman filtering method.\u003c\/p\u003e \u003cp\u003eA.1.5 Regime-switching models.\u003c\/p\u003e \u003cp\u003eA.2 Stochastic processes.\u003c\/p\u003e \u003cp\u003eA.2.1 Conditional expectation and martingales.\u003c\/p\u003e \u003cp\u003eA.2.2 Brownian motion.\u003c\/p\u003e \u003cp\u003eA.2.3 Stochastic integration and Itô’s lemma.\u003c\/p\u003e \u003cp\u003eA.2.4 The Feynman–Kac theorem.\u003c\/p\u003e \u003cp\u003eA.2.5 Monte Carlo simulation.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eBibliography.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402265895255,"sku":"9780470029626","price":85.49,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470029626.jpg?v=1730479880","url":"https:\/\/bookcurl.com\/products\/managing-energy-risk-an-integrated-view-on-power-and-other-energy-markets-425-the-wiley-finance-series-9780470029626","provider":"Book Curl","version":"1.0","type":"link"}