Valuation and Risk Management in Energy Ma...

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Beschreibung

Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice.

Über den Autor

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 [...]. Eng. in Mechanical Aerospace Engineering from Princeton University, and a [...]. in Mechanical Engineering from Caltech.

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2015
Fachbereich:	Allgemeines
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9781107539884
ISBN-10:	1107539889
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Swindle, Glen
Hersteller:	Cambridge University Press
Maße:	254 x 178 x 27 mm
Von/Mit:	Glen Swindle
Erscheinungsdatum:	11.02.2015
Gewicht:	0,927 kg

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