An Introduction to Models for the Energy Markets E-Book

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Read your free e-book: http://hotaudiobook.com/mebk/50/en/B005626UFG/book The special physical characteristics of commodities such as electricity, natural gas and oil mean that standard pricing models applied in financial markets for risk management and valuation purposes cannot simply be transferred and used as energy pricing models.an Introduction to Models for the Energy Markets provides a clear exposition of the thinking behind the range of models used today in energy finance.transportation, storage, seasonality and settlement issues hardly figure in financial markets and their modelling. Yet, they are crucial to the working of energy markets and, as a result, traditional financial models must be customised to give useful results.more broadly, traders and portfolio managers, who make crucial decisions based on the output of these models, should be familiar with their power and their limitations.ronald Huisman has combined both academic and practical approaches in An Introduction to Models for the Energy Markets to provide the reader with a clear exposition of the thinking behind the range of models used today in energy finance from the most basic to the cutting edge. In each chapter, a series of case-study examples offers the reader practical examples of the models application as well as insights into extension and development.an Introduction to Models for the Energy Markets is an essential purchase for all risk and portfolio managers, analysts and researchers for energy companies, banks and energy investment companies. It will also be required reading for students and academic researchers in the energy area.table Of Contents 1. Data Analysis Summary statistics: average and standard deviation The histogram Summary statistics: skewness and kurtosis Distribution functions Why do we need models if we have distributions?2. Models What to model: actual prices or log prices? Models Parameter estimation Concluding remarks3. Standard Models for Prices and Volatility Characteristics of energy prices Mean-reversion models for energy prices Measuring volatility Concluding remarks4. Beyond Mean Reversion Modelling price spikes Concluding remarks5. Factor Models for Forward Prices The information embedded in forward prices Factor models The Kalman filter Estimating the parameters in a long-termshort-term model Any other factors? Concluding remarks6. Extreme Value Theory Estimation procedure for the tail index Risk management Concluding remarks 7