Energy trading and risk management : a practical approach to hedging, trading and portfolio diversification

Format:

Book

Author/Creator:

Mack, Iris Marie.

Contributor:

Wiley Online Library (Servicio en línea)

Language:

English

Subjects (All):

Commodity exchanges.

Energy industries--Risk management.

Hedging (Finance).

Portfolio management.

Local Subjects:

Commodity exchanges.

Energy industries--Risk management.

Hedging (Finance).

Portfolio management.

Physical Description:

1 online resource (296 p.)

Edition:

1st ed.

Place of Publication:

Hoboken : Wiley, 2014.

Language Note:

English

Summary:

A leading authority presents a comprehensive overview of trading and risk management in the energy markets This new book from a respected consultant, lecturer, and former energy trader offers thorough coverage of energy markets and their principal applications in hedging risk, trading for profits, and diversifying investment portfolios. It covers exchange-traded as well as over-the-counter derivatives, including forwards, futures, and swaps for professionals in both the energy and financial industries. The book includes supplementary materials for use in classrooms, workshops, lecture

Contents:

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

4.8 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

Notes:

Description based upon print version of record.

ISBN:

9781118638286

111863828X

9781118339367

1118339363