Energy derivatives: pricing and risk management
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Lacima Publ.
2000
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 246 S. graph. Darst. |
| ISBN: | 0953889602 |
Internformat
MARC
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| 100 | 1 | |a Clewlow, Les |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Energy derivatives |b pricing and risk management |c Les Clewlow and Chris Strickland |
| 264 | 1 | |a London |b Lacima Publ. |c 2000 | |
| 300 | |a XV, 246 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804142359539089408 |
|---|---|
| adam_text | Contents
ABOUT THE AUTHORS x
PREFACE xii
ACKNOWLEDGEMENTS xv
CHAPTER 1 INTRODUCTION TO ENERGY DERIVATIVES AND
FUNDAMENTALS OF MODELLING AND PRICING 1
1.1 INTRODUCTION TO ENERGY DERIVATIVES 1
1.2 FUNDAMENTALS OF MODELLING AND PRICING 6
1.3 NUMERICAL TECHNIQUES 9
1.3.1 The Trinomial Method 10
1.3.2 Monte Carlo Simulation 14
1.4 SUMMARY 16
CHAPTER 2 UNDERSTANDING AND ANALYSING SPOT PRICES 17
2.1 INTRODUCTION 17
2.2 MEAN REVERSION 18
2.3 SIMULATING MEAN REVERSION 19
2.4 THE HALF-LIFE OF A MEAN REVERTING PROCESS 19
2.5 STOCHASTIC VOLATILITY 21
2.6 SIMULATING STOCHASTIC VOLATILITY 23
2.7 JUMPS IN THE SPOT PRICE 24
2.8 SIMULATING JUMPS IN THE SPOT PRICE 26
2.9 ESTIMATION OF THE MEAN REVERSION RATE 28
2.10 INTUITIVE ESTIMATION OF JUMP PROCESS PARAMETERS 30
2.11 MAXIMUM LIKELIHOOD ESTIMATION OF JUMP PARAMETERS 32
2.12 INCORPORATING SEASONAL PATTERNS INTO THE MODELS 33
2.13 CONCLUSIONS 36
CHAPTER 3 VOLATILITY ESTIMATION IN ENERGY MARKETS 37
3.1 INTRODUCTION 37
3.2 ESTIMATING VOLATILITY 39
3.2.1 Estimation of Volatility From Historical Data 40
3.2.2 Estimation of Volatility for a Mean Reverting Process 41
3.2.3 Volatility Estimation: Special Issues 42
3.2.4 Intraday Price Variability 43
v
Contents
3.2.5 Estimation of Volatility for a Basket 43
3.2.6 Implied Volatility 44
3.3 STOCHASTIC VOLATILITY MODELS 46
3.3.1 Estimation and Testing 49
3.3.2 Ordinary Least Squares 50
3.3.3 Maximum Likelihood 52
3.3.4 Testing 54
3.3.5 Examples from the Energy Commodity Markets 56
3.4 SUMMARY 63
CHAPTER 4 ENERGY FORWARD CURVES 64
4.1 INTRODUCTION 64
4.2 CONSTRUCTING FORWARD CURVES 66
4.2.1 Cost of Carry Relationship 66
4.2.2 Forward Price Bounds for Energies 67
4.2.3 Seasonality in Prices 68
4.3 FORWARD CURVES IN THE ELECTRICITY MARKET 68
4.3.1 Arbitrage Pricing Approach 70
4.3.2 The Econometric Approach 71
4.3.3 The Spot Price Modelling Approach 71
4.4 SUMMARY 72
CHAPTER 5 ENERGY DERIVATIVES: STRUCTURES AND APPLICATIONS 73
5.1 INTRODUCTION 73 |
5.2 EXCHANGE TRADED INSTRUMENTS 73
5.3 SWAPS 74
5.3.1 Vanilla Swap 74 i
5.3.2 Variable Volume Swap 74
5.3.3 Differential Swap 75 -
5.3.4 Margin or Crack Swap 75
5.3.5 Participation Swap 76
5.3.6 Double-Up Swap 76 I
5.3.7 Extendable Swap 77
5.4 CAPS, FLOORS AND COLLARS 77
5.5 SWAPTIONS 78 i
5.6 COMPOUND OPTIONS - CAPTIONS AND FLOPTIONS 79
5.7 SPREAD AND EXCHANGE OPTIONS 80
5.7.1 Calendar Spreads 80
5.7.2 Crack Spreads 80
5.7.3 Exchange Options 81
5.8 PATH DEPENDENT OPTIONS 81
5.8.1 Asian Options - Average Price and Average Strike 82
5.8.2 Barrier Options 83
5.8.3 Lookback Options - Fixed Strike and Floating Strike 85
5.8.4 Ladder and Cliquet Options 86 •
5.9 SUMMARY 88 ¦
vi
Contents
CHAPTER 6 SPOT PRICE MODELS AND PRICING STANDARD INSTRUMENTS 89
6.1 INTRODUCTION 89
6.2 SINGLE FACTOR MODELS 89
Futures and Forward Pricing 90
Option Pricing 91
The Schwartz Single Factor Model 91
Futures and Forward Pricing 93
Option Pricing 95
6.3 TWO FACTOR MODELS 97
Futures and Forward Pricing 98
Option Pricing 100
The Schwartz 1 Factor Approximation 102
Option Pricing in the Long Term Model 103
6.4 THREE FACTOR MODELS 104
Futures and Forward Pricing 104
Option Pricing 106
6.5 CHOOSING A SPOT PRICE MODEL 107
6.6 SUMMARY 108
CHAPTER 7 SPOT PRICE MODELS: PRICING PATH DEPENDENT AND
AMERICAN STYLE OPTIONS 109
7.1 INTRODUCTION 109
7.2 SIMULATION METHODS FOR ENERGY SPOT PRICE MODELS 109
7.2.1 Single Factor Simulation 110
7.2.2 Example - Valuing Spread Options 114
7.2.3 Example - Valuing European Energy Swaptions 114
7.2.4 Incorporating Seasonality into Monte Carlo Simulations 115
7.2.5 Computation of Hedge Sensitivities 117
7.2.6 Simulation of Multi-Factor Models 117
7.2.7 Generation of the Random Numbers 119
7.2.8 Valuing Path Dependent Options Using Simulation 120
7.3 BUILDING TRINOMIAL TREES FOR THE ENERGY SPOT PROCESS 123
7.4 IMPLIED TRINOMIAL TREES 127
7.5 PRICING GENERAL PATH DEPENDENT ENERGY OPTIONS IN
SPOT PRICE TREES 128
7.5.! Pricing Asian Energy Options in a Trinomial Tree 129
7.5.2 Pricing Swing Options 131
7.6 SUMMARY 133
CHAPTER 8 FORWARD CURVE MODELS 134
8.1 INTRODUCTION 134
8.2 A SIMPLE MODEL FOR THE FORWARD CURVE 13 5
8.3 THE DYNAMICS OF THE FORWARD CURVE 137
8.4 A GENERAL MULTI-FACTOR MODEL OF THE FORWARD CURVE 142
8.5 RELATIONSHIP BETWEEN FORWARD CURVE AND SPOT
PRICE MODELS 142
8.6 ESTIMATION OF THE VOLATILITY FUNCTIONS 143
vii
Contents
8.6.1 Historical Estimation ol the Forward Curve Volatility Functions 144
8.6.2 Example Analysis of NYMEX Crude Oil Futures 145
8.6.3 Incorporating Seasonably into the Volatility Functions 146
8.7 PRICING STANDARD EUROPEAN OPTIONS 149
8.7.1 Options on the Spot 151
8.7.2 Options on Forward Contracts 152
8.8 PRICING GENERAL EUROPEAN CONTINGENT CLAIMS 153
Example: Pricing a European Energy Swaplion 155
8.9 PRICING EXOTIC OPTIONS 156
8.9.1 Calendar Spread Options 156
8.9.2 Crack Spread Options 156
8.9.3 Asian Options 157
8.9.4 Amercian Options in Forward Curve Models 159
8.10 IMPLIED ESTIMATION OF THE VOLATILITY FUNCTIONS 160
8.10.1 Handling Volatility Skews and Smiles 162
8.11 SUMMARY 162
CHAPTER 9 RISK MANAGEMENT OF ENERGY DERIVATIVES 163
9.1 INTRODUCTION 163
9.2 DELTA HEDGING OF ENERGY DERIVATIVE POSITIONS 164
9.3 GAMMA HEDGING 169
9.4 HEDGING VOLATILITY AND OTHER SOURCES OF MARKET RISK 172
9.5 FACTOR HEDGING 173
9.6 SUMMARY 179
CHAPTER 10 RISI^lANAGEM£M:F-ef^N0(G¥ DimrYATJV£S-^U.C (X+^t, 180
10.1 INTRODUCTION 180
10.2 WHAT IS VALUE AT RISK? 180
10.3 MODELLING THE MARKET VARIABLES 182
10.4 FORECASTING STANDARD DEVIATIONS (VOLATILITY) 183
10.5 FORECASTING COVARIANCES AND CORRELATIONS 187
10.6 VALUE AT RISK METHODOLOGIES 188
10.6.1 Variancc-Covariancc (Delta VaR) 191
10.6.2 Delta-Gamma VaR 195
10.6.3 Monte Carlo Simulation 199 I
10.6.4 Historical Simulation 202 I
10.7 TESTING VALUE-AT-RISK ESTIMATES 205
10.7.1 Testing the VaR Forecast for Market Variables 208
10.8 CONCLUSIONS 208
CHAPTER 11 CREDIT RISK IN ENERGY MARKETS 210
11.1 INTRODUCTION 210
11.2 WHAT IS CREDIT RISK? 210
11.3 THE KEY COMPONENTS OF CREDIT RISK MODELS 211
11.3.1 Credit Ratings and Credit Rating Transition Probabilities 211 ;
11.3.2 Credit Spreads 214 ¦
11.3.3 Recovery Rates in Default 214
viii
Contents
11.3.4 A Summary of Major Credit Risk Models 215
11.4 CREDITMETRICS 215
11.4.1 Modelling Credit Rating Changes 216
11.4.2 Simulation of Counterparty Market Returns 219
11.4.3 Credit Spreads, Recovery Rates and the Calculation of Derivative Values 221
11.4.4 Modelling Recovery Rates 221
11.4.5 Calculation of the Credit Risk for an Energy Derivative Portfolio 222
11.5 CREDITRISK+ 228
11.5.1 Modelling the Occurrence of Defaults 230
11.6 CREDIT RISK MEASURES AND MANAGEMENT 233
11.6.1 Marginal Risk 233
11.6.2 Concentration Risk 234
11.6.3 Managing Credit Risk 235
11.6.4 Assessing the Models 236
11.7 CONCLUSIONS 236
REFERENCES 238
INDEX 243
ix
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| illustrated | Illustrated |
| indexdate | 2024-07-09T22:30:31Z |
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| isbn | 0953889602 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-019924547 |
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| spelling | Clewlow, Les Verfasser aut Energy derivatives pricing and risk management Les Clewlow and Chris Strickland London Lacima Publ. 2000 XV, 246 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Strickland, Chris Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019924547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Clewlow, Les Strickland, Chris Energy derivatives pricing and risk management |
| title | Energy derivatives pricing and risk management |
| title_auth | Energy derivatives pricing and risk management |
| title_exact_search | Energy derivatives pricing and risk management |
| title_full | Energy derivatives pricing and risk management Les Clewlow and Chris Strickland |
| title_fullStr | Energy derivatives pricing and risk management Les Clewlow and Chris Strickland |
| title_full_unstemmed | Energy derivatives pricing and risk management Les Clewlow and Chris Strickland |
| title_short | Energy derivatives |
| title_sort | energy derivatives pricing and risk management |
| title_sub | pricing and risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019924547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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