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Valuation and Risk Management in Energy Markets

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  • Swindle,Glen

Abstract

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.

Suggested Citation

  • Swindle,Glen, 2014. "Valuation and Risk Management in Energy Markets," Cambridge Books, Cambridge University Press, number 9781107036840, January.
    • Handle: RePEc:cup:cbooks:9781107036840
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    Cited by:

    1. Nicola Secomandi, 2015. "Merchant Commodity Storage Practice Revisited," Operations Research, INFORMS, vol. 63(5), pages 1131-1143, October.
    2. Elisa Alòs & Michael Coulon, 2024. "On the Optimal Choice of Strike Conventions in Exchange Option Pricing," Mathematics, MDPI, vol. 12(19), pages 1-19, September.
    3. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
    4. Guiotto, Paolo, 2022. "A note on the spot-forward parity under stochastic cost of carry," Energy Economics, Elsevier, vol. 112(C).
    5. Thompson, Matt, 2016. "Natural gas storage valuation, optimization, market and credit risk management," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 26-44.
    6. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
    7. Elisa Al`os & Michael Coulon, 2018. "On the optimal choice of strike conventions in exchange option pricing," Papers 1807.05396, arXiv.org.
    8. Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
    9. Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.

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