Valuation and Risk Management in Energy Markets

Glen Swindle (Autor)

Buch | Hardcover

494 Seiten

2014
Cambridge University Press (Verlag)
978-1-107-03684-0 (ISBN)

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Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.

Glen Swindle is the managing partner and co-founder of Scoville Risk Partners, a global professional services and analytics firm focused on the energy and commodities sectors. He has held senior positions at Constellation Energy, where he ran the Strategies group for the merchant energy business, and at Credit Suisse, where, as Managing Director, he was responsible for significant aspects of the North American energy business, running structured trading teams, as well as being co-head of power and natural gas trading. Previously he held tenured positions at University of California, Santa Barbara and Cornell University. He currently holds an adjunct faculty position at New York University, where he lectures on energy valuation and portfolio management. He is also on the Energy Oversight Committee for GARP's Energy Risk Professional Program and is a frequent speaker at panel discussions and webinars. He holds a Ph.D. in Applied Mathematics from Cornell University, an M.Sc. Eng. in Mechanical Aerospace Engineering from Princeton University, and a B.Sc. in Mechanical Engineering from Caltech.

Part I. Introduction to Energy Commodities: 1. Context; 2. Forwards and carry; 3. Macro perspective; Part II. Basic Valuation and Hedging: 4. Risk-neutral valuation; 5. Dynamics of forwards; 6. Swaps books; Part III. Primary Valuation Issues: 7. Term structure of volatility; 8. Skew; 9. Correlation; Part IV. Multi-Factor Models: 10. Covariance, spot prices, and factor models; 11. Gaussian exponential factor models; 12. Modeling paradigms; Part V. Advanced Methods and Structures: 13. Natural gas storage; 14. Tolling deals; 15. Variable quantity swaps; Part VI. Additional Topics: 16. Control, risk metrics, and credit; 17. Conclusions; Appendices.

Erscheint lt. Verlag	17.2.2014
Zusatzinfo	5 Tables, unspecified; 2 Halftones, unspecified; 256 Line drawings, unspecified
Verlagsort	Cambridge
Sprache	englisch
Maße	183 x 260 mm
Gewicht	1040 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre
ISBN-10	1-107-03684-4 / 1107036844
ISBN-13	978-1-107-03684-0 / 9781107036840
Zustand	Neuware