000			04759cam a2200541Mi 4500
001			ocn945117014
003			OCoLC
005			20240726104735.0
008			160126s2016 xxk o 000 0 eng d
040			_aSNK _beng _erda _cSNK _dOCLCO _dEBLCP _dYDXCP _dGW5XE _dNT
020			_a9781137560155
050	0	4	_aHB71-74 _b.M634 2016
049			_aMAIN
100	1		_aMahoney, Daniel. _e1
245	1	0	_aModeling and Valuation of Energy Structures _bAnalytics, Econometrics, and Numerics / _cby Daniel Mahoney.
260			_aLondon : _bPalgrave Macmillan UK : _c(c)2016.
260			_bImprint: Palgrave Macmillan, _c(c)2016.
300			_a1 online resource (384 pages) _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_adata file _2rda
490	1		_aApplied Quantitative Finance series
520	0		_aThis book is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations.
504			_a2
505	0	0	_aCover ; 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	0	0	_a2.1.2 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	0	0	_a3.1.4 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	0	0	_a4.3.1 (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	0	0	_a5.2.6 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			_a2 _ub
650		0	_aEnergy policy.
650		0	_aBusiness mathematics.
650		0	_aFinance.
650		0	_aMathematics.
650		0	_aEconomics.
650		0	_aManagement science.
650	2	4	_aEconomics, general.
650	2	4	_aMathematics, general.
650	2	4	_aFinance, general.
650	2	4	_aBusiness Mathematics.
650	2	4	_aEnergy Policy, Economics and Management.
655		1	_aElectronic Books.
856	4	0	_zClick to access digital title | log in using your CIU ID number and my.ciu.edu password. _uhttpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1164000&site=eds-live&custid=s3260518
942			_cOB _D _eEB _hHB- _m2016 _QOL _R _x _8NFIC _2LOC
994			_a92 _bNT
999			_c76729 _d76729
902			_a1 _bCynthia Snell _c1 _dCynthia Snell