Modeling and Valuation of Energy Structures Analytics, Econometrics, and Numerics /
Mahoney, Daniel.
Modeling and Valuation of Energy Structures Analytics, Econometrics, and Numerics / by Daniel Mahoney. - London : Palgrave Macmillan UK : (c)2016. Imprint: Palgrave Macmillan, (c)2016. - 1 online resource (384 pages) online resource. - Applied Quantitative Finance series .
Includes bibliographies and index.
Cover ; Half-Tile ; Title ; Contents; List of Figures; List of Tables; Preface; Acknowledgments; 1 Synopsis of Selected EnergyMarkets and Structures; 1.1 Challenges of modeling in energy markets; 1.1.1 High volatilities/jumps; 1.1.2 Small samples; 1.1.3 Structural change; 1.1.4 Physical/operational constraints; 1.2 Characteristic structured products; 1.2.1 Tolling arrangements; 1.2.2 Gas transport; 1.2.3 Gas storage; 1.2.4 Load serving; 1.3 Prelude to robust valuation; 2 Data Analysis and StatisticalIssues; 2.1 Stationary vs. non-stationary processes; 2.1.1 Concepts 2.1.2 Basic discrete time models: AR and VAR2.2 Variance scaling laws and volatilityaccumulation33; 2.2.1 The role of fundamentals and exogenous drivers; 2.2.2 Time scales and robust estimation; 2.2.3 Jumps and estimation issues; 2.2.4 Spot prices; 2.2.5 Forward prices; 2.2.6 Demand side: temperature; 2.2.7 Supply side: heat rates, spreads, and productionstructure; 2.3 A recap; 3 Valuation, Portfolios, andOptimization; 3.1 Optionality, hedging, and valuation; 3.1.1 Valuation as a portfolio construction problem; 3.1.2 Black Scholes as a paradigm; 3.1.3 Static vs. dynamic strategies 3.1.4 More on dynamic hedging: rolling intrinsic3.1.5 Market resolution and liquidity; 3.1.6 Hedging miscellany: greeks, hedge costs, and discounting; 3.2 Incomplete markets and the minimal martingale measure^61; 3.2.1 Valuation and dynamic strategies; 3.2.2 Residual risk and portfolio analysis; 3.3 Stochastic optimization; 3.3.1 Stochastic dynamic programming and HJB; 3.3.2 Martingale duality; 3.4 Appendix; 3.4.1 Vega hedging and value drivers; 3.4.2 Value drivers and information conditioning; 4 Selected Case Studies; 4.1 Storage; 4.2 Tolling; 4.3 Appendix 4.3.1 (Monthly) Spread option representation of storage4.3.2 Lower-bound tolling payoffs; 5 Analytical Techniques; 5.1 Change of measure techniques; 5.1.1 Review/main ideas; 5.1.2 Dimension reduction/computation facilitation/estimation robustness; 5.1.3 Max/min options; 5.1.4 Quintessential option pricing formula; 5.1.5 Symmetry results: Asian options; 5.2 Affine jump diffusions/characteristic function methods; 5.2.1 Lévy processes; 5.2.2 Stochastic volatility; 5.2.3 Pseudo-unification: affine jump diffusions; 5.2.4 General results/contour integration; 5.2.5 Specific examples 5.2.6 Application to change of measure5.2.7 Spot and implied forward models; 5.2.8 Fundamental drivers and exogeneity; 5.2.9 Minimal martingale applications; 5.3 Appendix; 5.3.1 More Asian option results; 5.3.2 Further change-of-measure applications; 6 Econometric Concepts; 6.1 Cointegration and mean reversion; 6.1.1 Basic ideas; 6.1.2 Granger causality; 6.1.3 Vector Error Correction Model (VECM); 6.1.4 Connection to scaling laws; 6.2 Stochastic filtering; 6.2.1 Basic concepts; 6.2.2 The Kalman filter and its extensions
This book is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations.
9781137560155
Energy policy.
Business mathematics.
Finance.
Mathematics.
Economics.
Management science.
Economics, general.
Mathematics, general.
Finance, general.
Business Mathematics.
Energy Policy, Economics and Management.
Electronic Books.
HB71-74 / .M634 2016
Modeling and Valuation of Energy Structures Analytics, Econometrics, and Numerics / by Daniel Mahoney. - London : Palgrave Macmillan UK : (c)2016. Imprint: Palgrave Macmillan, (c)2016. - 1 online resource (384 pages) online resource. - Applied Quantitative Finance series .
Includes bibliographies and index.
Cover ; Half-Tile ; Title ; Contents; List of Figures; List of Tables; Preface; Acknowledgments; 1 Synopsis of Selected EnergyMarkets and Structures; 1.1 Challenges of modeling in energy markets; 1.1.1 High volatilities/jumps; 1.1.2 Small samples; 1.1.3 Structural change; 1.1.4 Physical/operational constraints; 1.2 Characteristic structured products; 1.2.1 Tolling arrangements; 1.2.2 Gas transport; 1.2.3 Gas storage; 1.2.4 Load serving; 1.3 Prelude to robust valuation; 2 Data Analysis and StatisticalIssues; 2.1 Stationary vs. non-stationary processes; 2.1.1 Concepts 2.1.2 Basic discrete time models: AR and VAR2.2 Variance scaling laws and volatilityaccumulation33; 2.2.1 The role of fundamentals and exogenous drivers; 2.2.2 Time scales and robust estimation; 2.2.3 Jumps and estimation issues; 2.2.4 Spot prices; 2.2.5 Forward prices; 2.2.6 Demand side: temperature; 2.2.7 Supply side: heat rates, spreads, and productionstructure; 2.3 A recap; 3 Valuation, Portfolios, andOptimization; 3.1 Optionality, hedging, and valuation; 3.1.1 Valuation as a portfolio construction problem; 3.1.2 Black Scholes as a paradigm; 3.1.3 Static vs. dynamic strategies 3.1.4 More on dynamic hedging: rolling intrinsic3.1.5 Market resolution and liquidity; 3.1.6 Hedging miscellany: greeks, hedge costs, and discounting; 3.2 Incomplete markets and the minimal martingale measure^61; 3.2.1 Valuation and dynamic strategies; 3.2.2 Residual risk and portfolio analysis; 3.3 Stochastic optimization; 3.3.1 Stochastic dynamic programming and HJB; 3.3.2 Martingale duality; 3.4 Appendix; 3.4.1 Vega hedging and value drivers; 3.4.2 Value drivers and information conditioning; 4 Selected Case Studies; 4.1 Storage; 4.2 Tolling; 4.3 Appendix 4.3.1 (Monthly) Spread option representation of storage4.3.2 Lower-bound tolling payoffs; 5 Analytical Techniques; 5.1 Change of measure techniques; 5.1.1 Review/main ideas; 5.1.2 Dimension reduction/computation facilitation/estimation robustness; 5.1.3 Max/min options; 5.1.4 Quintessential option pricing formula; 5.1.5 Symmetry results: Asian options; 5.2 Affine jump diffusions/characteristic function methods; 5.2.1 Lévy processes; 5.2.2 Stochastic volatility; 5.2.3 Pseudo-unification: affine jump diffusions; 5.2.4 General results/contour integration; 5.2.5 Specific examples 5.2.6 Application to change of measure5.2.7 Spot and implied forward models; 5.2.8 Fundamental drivers and exogeneity; 5.2.9 Minimal martingale applications; 5.3 Appendix; 5.3.1 More Asian option results; 5.3.2 Further change-of-measure applications; 6 Econometric Concepts; 6.1 Cointegration and mean reversion; 6.1.1 Basic ideas; 6.1.2 Granger causality; 6.1.3 Vector Error Correction Model (VECM); 6.1.4 Connection to scaling laws; 6.2 Stochastic filtering; 6.2.1 Basic concepts; 6.2.2 The Kalman filter and its extensions
This book is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations.
9781137560155
Energy policy.
Business mathematics.
Finance.
Mathematics.
Economics.
Management science.
Economics, general.
Mathematics, general.
Finance, general.
Business Mathematics.
Energy Policy, Economics and Management.
Electronic Books.
HB71-74 / .M634 2016