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Table of contents (8 chapters)
Keywords
- Energy markets
- commodity markets
- structured products
- tolling
- gas storage
- econometrics
- stochastic modelling
- robust valuation
- incomplete markets
- high dimensional problems
- calculus
- cointegration
- commodity market
- duality
- energy
- GARCH
- liquidity
- numerics
- optimization
- Simulation
- Stochastic modelling
- valuation
- volatility
About this book
Reviews
"A very interesting book that offers a concise and rigorous presentation of a wide range of methods analytical, numerical, and econometric and their application to the truly important risk management problems in the energy markets. The book is expertly written, its material remarkably relevant. The book will be beneficial to anyone interested in understanding the use of mathematical methods in the world of
commodities."
-Alexander Eydeland, Managing Director, Morgan Stanley
"Mahoney presents a comprehensive and detailed coverage of techniques used in quantitative analysis of energy markets in a very readable form. This book will prove invaluable to anyone involved in or studying the energy markets."
-Jon Fox, Options Trader, Trafigura
"An essential read for anybody who wants to better understand the analytical challenges involved in modeling commodities markets and how to approach them. After a brief introduction to market structures and products, the book focuses on real world applications and best analytical and numerical practices for how to value and manage the risk around commodities assets and contracts. Written for the intermediate to advanced reader, the book provides a comprehensive, yet concise overview of mathematical and statistical methods required."
-Harald Ullrich, Vice President of Commercial Analytics, Exelon
"Rapid changes in energy markets caused by deregulation and innovation have created a challenging environment for consumers and market participants alike. Dr Mahoney's book provides clear instruction on state-of-the-art modeling and risk management approaches for energy products."
-Steven B. Perfect, Associate Professor of Finance, Florida State University
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Modeling and Valuation of Energy Structures
Book Subtitle: Analytics, Econometrics, and Numerics
Authors: Daniel Mahoney
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137560155
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2016
Hardcover ISBN: 978-1-137-56014-8Published: 17 November 2015
eBook ISBN: 978-1-137-56015-5Published: 26 January 2016
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XVIII, 455
Topics: Econometrics, Finance, general, Business Mathematics, Energy Policy, Economics and Management, Mathematics, general