Energy and power risk management : new developments in modeling, pricing, and hedging
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Alexander Eydeland; Krzysztof Wolyniec
- ناشر : Hoboken, N.J : Wiley,
- چاپ و سال / کشور: 2003
- شابک / ISBN : 9780471455875
Description
Introduction xi CHAPTER 1 Markets 1 CHAPTER 2 Basic Products and Structures 18 CHAPTER 3 Data 63 CHAPTER 4 Reduced-form Processes 118 CHAPTER 5 Forward Price Processes 198 CHAPTER 6 Correlation 211 CHAPTER 7 Hybrid Process for Power Prices 251 CHAPTER 8 Structured Products: Fuels and Other Commodities 306 CHAPTER 9 Power Plants and Other Cross-commodity Derivatives 384 CHAPTER 10 Risk Management 434 APPENDIX A Multidimensional Monte Carlo Simulation with a Given Volatility and Correlation Structure: The Case of GBM 461 APPENDIX B Optimization of Operations of Physical Assets 463 Bibliography 475 Index 483
