Burger, Markus, Graeber, Bernhard, Schindlmayr, Gero

 

Burger, Markus, Graeber, Bernhard, Schindlmayr, Gero

2

40

 

John Wiley & Sons, Inc. (Visit publisher website)

2007

English

 

 

 

Basic

 

 

Virtual power plant, fair value, arbitrage, arbitrage opportunities, marked-to-market valuations, commodity forward contract, central counterparty, variation margin, European-style options, American-style options, gains and losses for an option holder, call (put) option, put-call parity, protective put, covered call, arbitrage price, hedge, delta hedging, delta neutral, time value of the option, theta, dynamic hedging strategy, gamma, at the money, vega, implied volatilities, volatility smile, volatility skew, stochastic volatility model, swaption, call swaption, payer swaption, put swaption, receiver swaption, path-dependent options, binomial/trinomial trees, finite-difference methods, log-normal approximation, dark spread, spark spread, crack spread, moneyness, exchange option, Magrabe formula, plain conversion, composition option, quanto option, change of numeraire, cap, incompleteness, intrinsic value

 

***From the book*** Besides describing different types of energy derivatives this chapter introduces methods to determine their air value. The fair value of a contract is defined as the price for which a neutral market participant would be willing to buy or sell the contract. When deriving fair values, we make the general assumptions that the market is arbitrage free, i.e. making a profit without taking any risk is not possible, although there may be such arbitrage opportunities in real markets. If a valuation to market prices can be performed on a regular basis one also speaks of a marked-to-market valuation of a contract or portfolio.

 

2.1 Forwards, Futures and Swaps
2.1.1 Forward contracts
2.1.2 Future contracts
2.1.3 Swaps
2.2 “Plain Vanilla” Options
2.2.1 The put-call parity and option strategies
2.2.2 Black’s futures price model
2.2.3 Option pricing formulas
2.2.4 Hedging options: “the Greeks”
2.2.5 Implied volatilities and the “volatility smile”
2.2.6 Swaption
2.3 American and Asian Options
2.3.1 American options
2.3.2 Asian options
2.4 Commodity Bonds and Loans
2.5 Multi-underlying options
2.5.1 Basket options
2.5.2 Spread options
2.5.3 Quanto and composite options
2.6 Spot Price Options
2.6.1 Pricing spot price options
2.6.2 Caps and floors
2.6.3 Swing options
2.6.4 Virtual storage

 

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** From Publisher
Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power. It includes many practical examples and covers methods from financial mathematics as well as economics and energy-related models.