MARC details
| 000 -LEADER |
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| fixed length control field |
04759cam a2200541Mi 4500 |
| 001 - CONTROL NUMBER |
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| control field |
ocn945117014 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240726104735.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160126s2016 xxk o 000 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
SNK |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
SNK |
| Modifying agency |
OCLCO |
| -- |
EBLCP |
| -- |
YDXCP |
| -- |
GW5XE |
| -- |
NT |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781137560155 |
| 050 04 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB71-74 |
| Item number |
.M634 2016 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Mahoney, Daniel. |
| Relator term |
Author |
| 245 10 - TITLE STATEMENT |
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| Title |
Modeling and Valuation of Energy Structures |
| Remainder of title |
Analytics, Econometrics, and Numerics / |
| Statement of responsibility, etc. |
by Daniel Mahoney. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
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| Place of publication, distribution, etc. |
London : |
| Name of publisher, distributor, etc. |
Palgrave Macmillan UK : |
| Date of publication, distribution, etc. |
(c)2016. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
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| Name of publisher, distributor, etc. |
Imprint: Palgrave Macmillan, |
| Date of publication, distribution, etc. |
(c)2016. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (384 pages) |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
data file |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Applied Quantitative Finance series |
| 520 0# - SUMMARY, ETC. |
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| Summary, etc. |
This book is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Includes bibliographies and index. |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 |
| 530 ## - COPYRIGHT INFORMATION: |
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| COPYRIGHT INFORMATION |
COPYRIGHT NOT covered - Click this link to request copyright permission: |
| Uniform Resource Identifier |
<a href="b">b</a> |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Energy policy. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Business mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Management science. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Economics, general. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Mathematics, general. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Finance, general. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Business Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Energy Policy, Economics and Management. |
| 655 #1 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic Books. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| -- |
Click to access digital title | log in using your CIU ID number and my.ciu.edu password. |
| Uniform Resource Identifier |
<a href="httpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1164000&site=eds-live&custid=s3260518">httpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1164000&site=eds-live&custid=s3260518</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Koha item type |
Online Book (LOGIN USING YOUR MY CIU LOGIN AND PASSWORD) |
| DONATED BY: |
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| VENDOR |
EBSCO |
| Classification part |
HB- |
| PUBLICATION YEAR |
2016 |
| LOCATION |
ONLINE |
| REQUESTED BY: |
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| -- |
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NFIC |
| Source of classification or shelving scheme |
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| 994 ## - |
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92 |
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NT |
| 902 ## - LOCAL DATA ELEMENT B, LDB (RLIN) |
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| a |
1 |
| b |
Cynthia Snell |
| c |
1 |
| d |
Cynthia Snell |