Energy power risk : derivatives, computation and optimization / George Levy (RWE npower, UK).

Format:

Book

Author/Creator:

Levy, George, author.

Language:

English

Subjects (All):

Power resources--Risk management--Mathematical models.

Power resources.

Power resources--Risk management--Data processing.

Physical Description:

1 online resource (345 pages)

Edition:

First edition.

Place of Publication:

Bingley, UK : Emerald Publishing, 2019.

Summary:

'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.

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.

Notes:

Includes bibliographical references and index.

Print version record

ISBN:

9781787439566

1787439569

9781787435278

178743527X