Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.

Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice.

Ⅰ Introduction to energy Commodities 1 Context 2 forwards and Carry 3 Macro Perspective Ⅱ Basic Valuation and Hedging 4 Risk-Neutral Valuation 5 Dynamics of Forwards 6 Swaps Books Ⅲ Primary Valuation Issues 7 Term Structure of Volatility 8 Skew 9 Correlation Ⅳ Multifactor Models 10 Covariance, Spot Prices, and Factor Models 11 Gaussian Exponential Factor Models 12 Modeling Paradigms Ⅴ Advanced Methods and Structures 13 Natural Gas Storage 14 Toling Deals 15 Variable-Quantity Swaps Ⅵ Additional Topics 16 Control, Risk Metrics, and Credit 17 Conclusions Apeendixes A Black-76 and Margrabe B Portfolio Mathematics C Gaussian Exponential Factor Models D Common Tradables Bibliography Index Ⅴ