Efficient Pricing Of Energy Derivatives
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Author | : Anders B. Trolle |
Publisher | : |
Total Pages | : 21 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Efficient Pricing of Energy Derivatives Book in PDF, Epub and Kindle
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fast and accurate Fourier-based pricing formula for European-style options on futures contracts, enabling efficient calibration to liquid plain-vanilla exchange-traded derivatives, and iii) the evolution of the futures curve being described in terms of a low-dimensional affine state vector, making the model ideally suited for pricing complex energy derivatives and real options by simulation. I also consider an extension of the framework that takes jumps in spot prices into account.
Author | : René Aïd |
Publisher | : Springer |
Total Pages | : 107 |
Release | : 2015-01-14 |
Genre | : Mathematics |
ISBN | : 3319083953 |
Download Electricity Derivatives Book in PDF, Epub and Kindle
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks.
Author | : Valeriy V. Ryabchenko |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options Book in PDF, Epub and Kindle
Our second study considered a regression approach to pricing European options in an incomplete market. The algorithm replicates an option by a portfolio consisting of the underlying security and a risk-free bond. We apply linear regression framework and quadratic programming with linear constraints (input = sample paths of underlying security; output = table of option prices as a function of time and price of the underlying security). We populate the model with historical prices of the underlying security (possibly massaged to the present volatility) or with Monte Carlo simulated prices. Risk neutral processes or probabilities are not needed in this framework.
Author | : Peter C. Fusaro |
Publisher | : Energy Publishing Enterprises dba |
Total Pages | : 288 |
Release | : 2000 |
Genre | : Business & Economics |
ISBN | : 0970222807 |
Download Energy Derivatives Book in PDF, Epub and Kindle
The new finanacial markets for energy trading are growing globally. Financial derivatives now influence energy price formation for oil, gas and electricity. The power of the Internet is driving these global changes more rapidly and adding more price volatility. This book is the second of three books on energy trading and risk management written by best selling author Peter C. Fusaro. It covers the key new markets of emissions trading, weather driving, electronic energy trading, bandwidth trading and electricty and gas trading in Europe.
Author | : Les Clewlow |
Publisher | : Twayne Publishers |
Total Pages | : 246 |
Release | : 2000 |
Genre | : Derivative securities |
ISBN | : 9780953889600 |
Download Energy Derivatives Book in PDF, Epub and Kindle
Author | : Dragana Pilipović |
Publisher | : McGraw Hill Professional |
Total Pages | : 284 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780786312313 |
Download Energy Risk Book in PDF, Epub and Kindle
Gain the benefit of Pilipovic's complete energy risk management system, from devising hedging and trading strategies to the implementation on the trading desk. "Energy Risk" explains valuation and portfolio analysis, and offers tips for managers who must deal with energy risk. It covers electricity, natural gas, and other energy markets. 175 illus.
Author | : Leonardo Marroni |
Publisher | : John Wiley & Sons |
Total Pages | : 277 |
Release | : 2013-12-23 |
Genre | : Business & Economics |
ISBN | : 1119953715 |
Download Pricing and Hedging Financial Derivatives Book in PDF, Epub and Kindle
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code
Author | : Fred Espen Benth |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Pricing of Exotic Energy Derivatives Based on Arithmetic Spot Models Book in PDF, Epub and Kindle
Based on a non-Gaussian Ornstein-Uhlenbeck model for energy spot, we derive prices for Asian and spread options using Fourier techniques. The option prices are expressed in terms of the Fourier transform of the payoff function and the characteristic functions of the driving noises, being independent increment processes. In many relevant situations, these functions are explicitly available, and fast Fourier transform can be used for efficient numerical valuation. The arithmetic nature of our model implies that only a one-dimensional Fourier transform is required in the computation of the price, contrary to geometric models where transformation along both underlying variables is necessary.
Author | : T. James |
Publisher | : Springer |
Total Pages | : 553 |
Release | : 2002-12-03 |
Genre | : Business & Economics |
ISBN | : 1403946043 |
Download Energy Price Risk Book in PDF, Epub and Kindle
Energy Price Risk was inspired by the success of the courses Tom James has been running in global energy and commodities trading and price risk management. It is the practitioner's guide to optimizing company performance using the correct price risk strategies and tools. Based on the author's extensive experience in the commodity derivatives industry, it comprehensively covers the full spectrum of the energy complex, including crude oil, petroleum products, natural gas, LPG/LNG and electricity. Using many worked examples, this book offers practical insights and solutions.
Author | : Stefano Fiorenzani |
Publisher | : John Wiley & Sons |
Total Pages | : 224 |
Release | : 2012-02-06 |
Genre | : Business & Economics |
ISBN | : 1119953693 |
Download The Handbook of Energy Trading Book in PDF, Epub and Kindle
To thrive in today's booming energy trading market you need cutting-edge knowledge of the latest energy trading strategies, backed up by rigorous testing and practical application Unique in its practical approach, The Handbook of Energy Trading is your definitive guide. It provides a valuable insight into the latest strategies for trading energy—all tried and tested in maintaining a competitive advantage—illustrated with up-to-the-minute case studies from the energy sector. The handbook takes you through the key aspects of energy trading, from operational strategies and mathematical methods to practical techniques, with advice on structuring your energy trading business to optimise success in the energy market. A unique integrated market approach by authors who combine academic theory with vast professional and practical experience Guidance on the types of energy trading strategies and instruments and how they should be used Soaring prices and increasingly complex global markets have created an explosion in the need for robust technical knowledge in the field of energy trading, derivatives, and risk management. The Handbook of Energy Trading is essential reading for all energy trading professionals, energy traders, and risk managers, and in fact anyone who has ever asked: 'what is energy trading?'