Energy trading and risk management: a practical approach to hedging, trading and portfolio diversification
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
Wiley
[2014]
|
| Schlagworte: | |
| Online-Zugang: | TUM01 Volltext |
| Beschreibung: | "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 Includes bibliographical references and index 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 |
| Beschreibung: | 1 Online-Ressource (xxix, 296 pages) |
| ISBN: | 1118339339 1118339347 1118339363 111863828X 9781118339336 9781118339343 9781118339367 9781118638286 |
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| 245 | 1 | 0 | |a Energy trading and risk management |b a practical approach to hedging, trading and portfolio diversification |c Iris Mack |
| 264 | 1 | |a Singapore |b Wiley |c [2014] | |
| 300 | |a 1 Online-Ressource (xxix, 296 pages) | ||
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| 500 | |a "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 | ||
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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, | ||
| 500 | |a - 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, | ||
| 500 | |a - 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 | ||
| 500 | |a - 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 | ||
| 500 | |a - 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 | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Commodity exchanges | |
| 650 | 4 | |a Energy industries |x Risk management | |
| 650 | 4 | |a Hedging (Finance) | |
| 650 | 4 | |a Portfolio management | |
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Datensatz im Suchindex
| _version_ | 1804174957419167744 |
|---|---|
| any_adam_object | |
| author | Mack, Iris Marie |
| author_facet | Mack, Iris Marie |
| author_role | aut |
| author_sort | Mack, Iris Marie |
| author_variant | i m m im imm |
| building | Verbundindex |
| bvnumber | BV042744412 |
| collection | ZDB-4-NLEBK |
| ctrlnum | (OCoLC)876512884 (DE-599)BVBBV042744412 |
| dewey-full | 332.644 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.644 |
| dewey-search | 332.644 |
| dewey-sort | 3332.644 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042744412 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:08:39Z |
| institution | BVB |
| isbn | 1118339339 1118339347 1118339363 111863828X 9781118339336 9781118339343 9781118339367 9781118638286 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028175281 |
| oclc_num | 876512884 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (xxix, 296 pages) |
| psigel | ZDB-4-NLEBK ZDB-4-NLEBK TUM_PDA_EBSCOBAE_gekauft |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| spelling | Mack, Iris Marie Verfasser aut Energy trading and risk management a practical approach to hedging, trading and portfolio diversification Iris Mack Singapore Wiley [2014] 1 Online-Ressource (xxix, 296 pages) txt rdacontent c rdamedia cr rdacarrier "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 Includes bibliographical references and index 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 BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Commodity exchanges Energy industries Risk management Hedging (Finance) Portfolio management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Energiemarkt (DE-588)4014712-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Energiemarkt (DE-588)4014712-5 s Risikomanagement (DE-588)4121590-4 s Hedging (DE-588)4123357-8 s Portfolio Selection (DE-588)4046834-3 s 1\p DE-604 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=756261 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mack, Iris Marie Energy trading and risk management a practical approach to hedging, trading and portfolio diversification BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Commodity exchanges Energy industries Risk management Hedging (Finance) Portfolio management Risikomanagement (DE-588)4121590-4 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4014712-5 (DE-588)4046834-3 (DE-588)4123357-8 |
| title | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification |
| title_auth | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification |
| title_exact_search | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification |
| title_full | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification Iris Mack |
| title_fullStr | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification Iris Mack |
| title_full_unstemmed | Energy trading and risk management a practical approach to hedging, trading and portfolio diversification Iris Mack |
| title_short | Energy trading and risk management |
| title_sort | energy trading and risk management a practical approach to hedging trading and portfolio diversification |
| title_sub | a practical approach to hedging, trading and portfolio diversification |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Commodity exchanges Energy industries Risk management Hedging (Finance) Portfolio management Risikomanagement (DE-588)4121590-4 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Wirtschaft Commodity exchanges Energy industries Risk management Hedging (Finance) Portfolio management Risikomanagement Energiemarkt Portfolio Selection Hedging |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=756261 |
| work_keys_str_mv | AT mackirismarie energytradingandriskmanagementapracticalapproachtohedgingtradingandportfoliodiversification |