Energy power risk: derivatives, computation and optimization
'Energy Power Risk: Derivatives, Computation and Optimization' is a comprehensive guide presenting the latest mathematical and computational tools required for the quantification and management of energy power risk. Written by a practitioner with many years' experience in the field, i...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bingley, U.K.
Emerald Publishing Limited
2018
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| Schlagworte: | |
| Online-Zugang: | DE-634 DE-1043 DE-M347 DE-523 DE-91 DE-473 DE-19 DE-355 DE-703 DE-20 DE-706 DE-824 DE-29 DE-739 Volltext |
| Zusammenfassung: | 'Energy Power Risk: Derivatives, Computation and Optimization' is a comprehensive guide presenting the latest mathematical and computational tools required for the quantification and management of energy power risk. Written by a practitioner with many years' experience in the field, it provides readers with valuable insights in to the latest practices and methodologies used in today's markets, showing readers how to create innovative quantitative models for energy and power risk and derivative valuation. The book begins with an introduction to the mathematics of Brownian motion and stochastic processes, covering Geometric Brownian motion, Ito's lemma, Ito's Isometry, the Ornstein Uhlenbeck process and more. It then moves on to the simulation of power prices and the valuation of energy derivatives, before considering software engineering techniques for energy risk and portfolio optimization. The book also covers additional topics including wind and solar generation, intraday storage, generation and demand optionality. Written in a highly practical manner and with example C++ and VBA code provided throughout, 'Energy Power Risk: Derivatives, Computation and Optimization' will be an essential reference for quantitative analysts, financial engineers and other practitioners in the field of energy risk management, as well as researchers and students interested in the industry and how it works |
| Beschreibung: | 1 Online-Ressource (xvii, 326 Seiten) cm |
| ISBN: | 9781787435278 |
Internformat
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| 520 | 3 | |a 'Energy Power Risk: Derivatives, Computation and Optimization' is a comprehensive guide presenting the latest mathematical and computational tools required for the quantification and management of energy power risk. Written by a practitioner with many years' experience in the field, it provides readers with valuable insights in to the latest practices and methodologies used in today's markets, showing readers how to create innovative quantitative models for energy and power risk and derivative valuation. The book begins with an introduction to the mathematics of Brownian motion and stochastic processes, covering Geometric Brownian motion, Ito's lemma, Ito's Isometry, the Ornstein Uhlenbeck process and more. It then moves on to the simulation of power prices and the valuation of energy derivatives, before considering software engineering techniques for energy risk and portfolio optimization. The book also covers additional topics including wind and solar generation, intraday storage, generation and demand optionality. Written in a highly practical manner and with example C++ and VBA code provided throughout, 'Energy Power Risk: Derivatives, Computation and Optimization' will be an essential reference for quantitative analysts, financial engineers and other practitioners in the field of energy risk management, as well as researchers and students interested in the industry and how it works | |
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Datensatz im Suchindex
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| contents | Prelims -- Overview -- Brownian motion and stochastic processes -- Fundamental power price model -- Single asset European options -- Single asset American style options -- Multi-asset options -- Power contracts -- Portfolio optimization -- Example C++ classes -- The Greeks for vanilla European options -- Standard statistical results -- Statistical distribution functions -- Mathematical reference -- Answers to problems -- References -- Index |
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| illustrated | Not Illustrated |
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| indexdate | 2024-08-02T00:19:26Z |
| institution | BVB |
| isbn | 9781787435278 |
| language | English |
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| spelling | Levy, George Verfasser aut Energy power risk derivatives, computation and optimization George Levy (RWE npower, UK) Bingley, U.K. Emerald Publishing Limited 2018 ©2019 1 Online-Ressource (xvii, 326 Seiten) cm txt rdacontent c rdamedia cr rdacarrier Prelims -- Overview -- Brownian motion and stochastic processes -- Fundamental power price model -- Single asset European options -- Single asset American style options -- Multi-asset options -- Power contracts -- Portfolio optimization -- Example C++ classes -- The Greeks for vanilla European options -- Standard statistical results -- Statistical distribution functions -- Mathematical reference -- Answers to problems -- References -- Index 'Energy Power Risk: Derivatives, Computation and Optimization' is a comprehensive guide presenting the latest mathematical and computational tools required for the quantification and management of energy power risk. Written by a practitioner with many years' experience in the field, it provides readers with valuable insights in to the latest practices and methodologies used in today's markets, showing readers how to create innovative quantitative models for energy and power risk and derivative valuation. The book begins with an introduction to the mathematics of Brownian motion and stochastic processes, covering Geometric Brownian motion, Ito's lemma, Ito's Isometry, the Ornstein Uhlenbeck process and more. It then moves on to the simulation of power prices and the valuation of energy derivatives, before considering software engineering techniques for energy risk and portfolio optimization. The book also covers additional topics including wind and solar generation, intraday storage, generation and demand optionality. Written in a highly practical manner and with example C++ and VBA code provided throughout, 'Energy Power Risk: Derivatives, Computation and Optimization' will be an essential reference for quantitative analysts, financial engineers and other practitioners in the field of energy risk management, as well as researchers and students interested in the industry and how it works Computer science Computers General Power resources Risk management Data processing Power resources Risk management Mathematical models Erscheint auch als Druckausgabe 9781787435285 https://www.emerald.com/insight/publication/doi/10.1108/9781787435278 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Levy, George Energy power risk derivatives, computation and optimization Prelims -- Overview -- Brownian motion and stochastic processes -- Fundamental power price model -- Single asset European options -- Single asset American style options -- Multi-asset options -- Power contracts -- Portfolio optimization -- Example C++ classes -- The Greeks for vanilla European options -- Standard statistical results -- Statistical distribution functions -- Mathematical reference -- Answers to problems -- References -- Index Computer science Computers General Power resources Risk management Data processing Power resources Risk management Mathematical models |
| title | Energy power risk derivatives, computation and optimization |
| title_auth | Energy power risk derivatives, computation and optimization |
| title_exact_search | Energy power risk derivatives, computation and optimization |
| title_exact_search_txtP | Energy power risk derivatives, computation and optimization |
| title_full | Energy power risk derivatives, computation and optimization George Levy (RWE npower, UK) |
| title_fullStr | Energy power risk derivatives, computation and optimization George Levy (RWE npower, UK) |
| title_full_unstemmed | Energy power risk derivatives, computation and optimization George Levy (RWE npower, UK) |
| title_short | Energy power risk |
| title_sort | energy power risk derivatives computation and optimization |
| title_sub | derivatives, computation and optimization |
| topic | Computer science Computers General Power resources Risk management Data processing Power resources Risk management Mathematical models |
| topic_facet | Computer science Computers Power resources Risk management Data processing Power resources Risk management Mathematical models |
| url | https://www.emerald.com/insight/publication/doi/10.1108/9781787435278 |
| work_keys_str_mv | AT levygeorge energypowerriskderivativescomputationandoptimization |