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Energy Power Risk: Derivatives, Computation and Optimization is a comprehensive guide presenting the latest mathematical and computational tools required for the quantification and management of energy power risk. Written by a practitioner with many years’ experience in the field, it provides readers with valuable insights in to the latest practices and methodologies used in today’s markets, showing readers how to create innovative quantitative models for energy and power risk and derivative valuation.
The book begins with an introduction to the mathematics of Brownian motion and stochastic processes, covering Geometric Brownian motion, Ito’s lemma, Ito’s Isometry, the Ornstein Uhlenbeck process and more. It then moves on to the simulation of power prices and the valuation of energy derivatives, before considering software engineering techniques for energy risk and portfolio optimization. The book also covers additional topics including wind and solar generation, intraday storage, generation and demand optionality.
Written in a highly practical manner and with example C++ and VBA code provided throughout, Energy Power Risk: Derivatives, Computation and Optimization will be an essential reference for quantitative analysts, financial engineers and other practitioners in the field of energy risk management, as well as researchers and students interested in the industry and how it works.
Price: $128.99
Pages: 344
Publisher: Emerald Publishing Limited
Imprint: Emerald Publishing Limited
Publication Date:
10 December 2018
ISBN: 9781787435285
Format: Hardcover
BISACs:
COMPUTERS / General, Energy industries & utilities, COMPUTERS / Mathematical & Statistical Software, BUSINESS & ECONOMICS / Investments & Securities / Commodities / Energy
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.
George Levy works as a Quantitative Analyst at RWE npower developing systems to estimate both the risk and value associated with energy contracts. He has been invited to speak at numerous conferences and published articles in various international journals including: Energy Risk Magazine, The Journal of Computational Finance, and Software Practice & Experience. He is also the author of two books: Computational Finance: Numerical Methods for Pricing Financial Derivatives, Academic Press (2004), and Computational Finance using C and C#: Derivatives and Valuation (2nd Edition), Academic Press (2016).
Chapter 1. Overview
Chapter 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