Energy Power Risk
Derivatives, Computation and Optimization
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- Description
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Chapter 1. OverviewChapter 2. Brownian Motion and Stochastic Processes Chapter 3. Fundamental Power Price Model Chapter 4. Single Asset European Options Chapter 5. Single Asset American Style Options Chapter 6. Multi-Asset Options Chapter 7. Power Contracts Chapter 8. Portfolio Optimisation Chapter 9. Example C++ Classes Appendix A. The Greeks for Vanilla European Options Appendix B. Standard Statistical Results Appendix C. Statistical Distribution Functions Appendix D. Mathematical Reference Appendix E. Answers to Problems
Levy, a quantitative analyst who develops systems to estimate the risk and value associated with energy contracts in the UK, provides mathematical and computational tools for the quantification and management of energy/power risk and derivative valuations. He discusses the mathematics of Brownian motion and stochastic processes, the mathematics of spot and forward curve commodity models, Merton's jump diffusion model, non-normal distributions, the modeling of half hourly UK power pricing, and pricing single and multi-asset European and American derivatives, as well as Markowitz portfolio optimization and examples of how to create C++ vector and random number classes that facilitate the development of energy risk and derivative pricing software. He includes his research on UK power contracts, including the topics of power imbalance, renewable generation, intraday storage, and demand optionality. Basic understanding of linear algebra and calculus is assumed.