LEADER 05475nam 22007214a 450 001 9910825069703321 005 20200520144314.0 010 $a1-119-20910-2 010 $a1-282-34291-6 010 $a9786612342912 010 $a0-470-72546-X 035 $a(CKB)1000000000724391 035 $a(EBL)470125 035 $a(OCoLC)608624309 035 $a(SSID)ssj0000302387 035 $a(PQKBManifestationID)11241665 035 $a(PQKBTitleCode)TC0000302387 035 $a(PQKBWorkID)10267583 035 $a(PQKB)11547255 035 $a(Au-PeEL)EBL470125 035 $a(CaPaEBR)ebr10300926 035 $a(CaONFJC)MIL234291 035 $a(OCoLC-P)608624309 035 $a(CaSebORM)9780470029626 035 $a(MiAaPQ)EBC470125 035 $a(OCoLC)792930749 035 $a(OCoLC)ocn792930749 035 $a(EXLCZ)991000000000724391 100 $a20071018d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aManaging energy risk $ean integrated view on power and other energy markets /$fMarkus Burger, Bernhard Graeber, Gero Schindlmayr 205 $a1st edition 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons$dc2007 215 $a1 online resource (318 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-02962-5 320 $aIncludes bibliographical references (p. [291]-294) and index. 327 $aManaging Energy Risk; Contents; Foreword; Preface; 1 Energy Markets; 1.1 The oil market; 1.1.1 Consumption, production and reserves; 1.1.2 Crude oil trading; 1.1.3 Refined oil products; 1.2 The natural gas market; 1.2.1 Consumption, production and reserves; 1.2.2 Natural gas trading; 1.2.3 Price formulas with oil indexation; 1.2.4 Liquefied natural gas; 1.3 The coal market; 1.3.1 Consumption, production and reserves; 1.3.2 Coal trading; 1.3.3 Freight; 1.3.4 Coal subsidies in Germany: BAFA-indexed prices; 1.4 The electricity market; 1.4.1 Consumption and production; 1.4.2 Electricity trading 327 $a1.4.3 Products in the electricity markets1.4.4 Energy exchanges; 1.5 The emissions market; 1.5.1 Kyoto Protocol; 1.5.2 EU emissions trading scheme; 1.5.3 Flexible mechanisms; 1.5.4 Products and market places; 1.5.5 Emissions trading in North America; 2 Energy Derivatives; 2.1 Forwards, futures and swaps; 2.1.1 Forward contracts; 2.1.2 Futures contracts; 2.1.3 Swaps; 2.2 "Plain vanilla" options; 2.2.1 The put-call parity and option strategies; 2.2.2 Black's futures price model; 2.2.3 Option pricing formulas; 2.2.4 Hedging options: the "Greeks" 327 $a2.2.5 Implied volatilities and the "volatility smile"2.2.6 Swaptions; 2.3 American and Asian options; 2.3.1 American options; 2.3.2 Asian options; 2.4 Commodity bonds and loans; 2.5 Multi-underlying options; 2.5.1 Basket options; 2.5.2 Spread options; 2.5.3 Quanto and composite options; 2.6 Spot price options; 2.6.1 Pricing spot price options; 2.6.2 Caps and floors; 2.6.3 Swing options; 2.6.4 Virtual storage; 3 Commodity Price Models; 3.1 Forward curves and the market price of risk; 3.1.1 Investment assets; 3.1.2 Consumption assets and convenience yield 327 $a3.1.3 Contango, backwardation and seasonality3.1.4 The market price of risk; 3.1.5 Derivatives pricing and the risk-neutral measure; 3.2 Commodity spot price models; 3.2.1 Geometric Brownian motion; 3.2.2 The one-factor Schwartz model; 3.2.3 The Schwartz-Smith model; 3.3 Stochastic forward curve models; 3.3.1 One-factor forward curve models; 3.3.2 A two-factor forward curve model; 3.3.3 A multi-factor exponential model; 3.4 Electricity price models; 3.4.1 The hourly forward curve; 3.4.2 The SMaPS model; 3.4.3 Regime-switching model; 3.5 Multi-commodity models; 3.5.1 Regression analysis 327 $a3.5.2 Correlation analysis3.5.3 Cointegration; 3.5.4 Model building; 4 Fundamental Market Models; 4.1 Fundamental price drivers in electricity markets; 4.1.1 Demand side; 4.1.2 Supply side; 4.1.3 Interconnections; 4.2 Economic power plant dispatch; 4.2.1 Thermal power plants; 4.2.2 Hydro power plants; 4.2.3 Optimisation methods; 4.3 Methodological approaches; 4.3.1 Merit order curve; 4.3.2 Optimisation models; 4.3.3 System dynamics; 4.3.4 Game theory; 4.4 Relevant system information for electricity market modelling; 4.4.1 Demand side; 4.4.2 Supply side; 4.4.3 Transmission system 327 $a4.4.4 Historical data for backtesting 330 $aMathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power. It includes many practical examples and covers methods from financial mathematics as well as economics and energy-related models. 410 0$aWiley finance series. 606 $aEnergy industries$xRisk management 615 0$aEnergy industries$xRisk management. 676 $a332.6722 700 $aBurger$b Markus$0958661 701 $aGraeber$b Bernhard$0972397 701 $aSchindlmayr$b Gero$0972398 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910825069703321 996 $aManaging energy risk$92211131 997 $aUNINA