My Library

University LibraryCatalogue

For faster,
simpler
access.
Use Lean
Library.
Get it now
Don't show me again

LEADER 00000cam a2200553Mi 4500 
003    OCoLC 
005    20160513031947.4 
006    m        d         
007    cr nn|008mamaa 
008    160126s2016    xxk     o     000 0 eng d 
019    SPRINGERocn945117014 
020    9781137560155 
020    1137560150 
020    |z9781349566884 
020    |z9781137560148 
024 7  10.1057/9781137560155|2doi 
040    SNK|beng|cSNK|dOCLCO|dEBLCP|dYDXCP|dGW5XE|dN$T|dCDX|dOCLCF
049    MAIN 
050  4 HB71-74 
082 04 330|223 
100 1  Mahoney, Daniel.|eauthor. 
245 10 Modeling and Valuation of Energy Structures|h[electronic 
       resource] :|bAnalytics, Econometrics, and Numerics /|cby 
       Daniel Mahoney. 
264  1 London :|bPalgrave Macmillan UK :|bImprint: Palgrave 
       Macmillan,|c2016. 
300    1 online resource (384 p.)|bonline resource. 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
347    text file|bPDF|2rda 
490 1  Applied Quantitative Finance series 
504    Includes bibliographical references and index. 
505 0  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 8  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 8  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 measurê61; 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 8  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 8  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 
520    This book is a comprehensive guide to quantitative and 
       statistical approaches that have been successfully 
       employed in support of trading operations. 
650  0 Energy policy. 
650  0 Business mathematics. 
650  0 Finance. 
650  0 Mathematics. 
650  0 Economics. 
650  0 Management science. 
655  4 Electronic books. 
710 2  SpringerLink|eissuing body. 
776 08 |iPrinted edition:|z9781349566884 
830  0 Applied Quantitative Finance series 
830  0 Springer English/International eBooks 2016 - Full Set 
856 40 |uhttps://ezp.lib.unimelb.edu.au/login?url=http://
       link.springer.com/10.1057/9781137560155|zConnect to ebook 
       (University of Melbourne only) 
990    Springer English/International eBooks 2016 - Full Set 
990    Batch Ebook load (bud2) - do not edit, delete or attach 
       any records. 
Location Call No. Status
 UniM INTERNET resource    AVAILABLE