The handbook of energy trading

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Title:

Author:

Fiorenzani, Stefano.

ISBN:

9781119953692

Personal Author:

Fiorenzani, Stefano.

Publication Information:

Chichester, West Sussex ; Hoboken, NJ : Wiley, 2012.

Physical Description:

xviii, 204 p. : ill. ; 24 cm.

Contents:

Machine generated contents note: 1.Energy Markets as Efficient Markets -- 1.1.The "Efficient Market Hypothesis" -- 1.1.1.Trading Implications -- 1.1.2.Informational and Mathematical Implications -- 1.2.Mathematical Framework -- 1.2.1.Information Set: σ-algebras -- 1.2.2.Conditional Expectation -- 1.3.Martingale Hypothesis -- 1.3.1.The Random Walk Hypothesis -- 1.3.2.Sequences and Reversal, Cowles Jones Test: Theoretical Framework -- 1.3.3.Variance Ratio Tests -- 1.4.Violations of EMH and Behavioural Finance -- 1.5.Information Asymmetries and Accelerating Processes -- 1.6.The Peculiar Structure and Nature of Energy Commodities Markets -- 1.7.EHM in Energy Commodities Markets: Some Evidence from Data -- 1.7.1.Efficient Market Hypothesis: Testing the Intraday Returns -- 1.8.Subordination, Trading Volume and Efficient Market Hypothesis -- 1.9.Subordination and Stochastic Timescales -- 2.Directional Trading -- 2.1.Definitions and Main Features --

Contents note continued: 2.2.Market Products for Directional Trading -- 2.3.Price Trend Determination -- 2.3.1.Fundamental Trading Models -- 2.3.2.Statistical Trading Models -- 2.3.3.Technical Trading Models -- 2.3.4.Case Studies -- 2.4.Strategic Asset Allocation Methods -- 2.4.1.Traditional Asset Allocation Models -- 2.4.2.Single Period Asset Allocation Model -- 2.4.3.Inter-temporal Asset Allocation Problems -- 2.4.4.Solution Methods - Dynamic Programming -- 2.4.5.Asset Allocation with Capital Constraints -- 3.Spread Trading -- 3.1.Spread Definition and Identification -- 3.2.Non-Stationarity and Cointegration -- 3.3.Empirical Analysis of Energy Spread Trading Strategies -- 3.4.Empirical Analysis of Energy Spreads and Spread Trading Strategies -- 3.4.1.Cross Commodities Spread Trading (Spark Spread) -- 3.4.2.Time Spreads on Brent -- 3.4.3.Location Spread: Italy vs. Germany -- 3.5.Combining Directional and Spread Trading Strategies -- 4.Options and Non-Linear Derivatives --

Contents note continued: 4.1.The Essence of Non-Linearity -- 4.1.1.Factors that Influence Option Value -- 4.1.2.Option Traders -- 4.1.3.Energy Option Markets -- 4.2.Exotic Options -- 4.3.Combinations -- 4.4.Value Bounds and Parity Relationship -- 4.5.Basics on Option Pricing -- 4.6.The Greeks -- 4.6.1.Delta and Delta Hedging -- 4.6.2.Gamma -- 4.6.3.Theta -- 4.6.4.Vega -- 4.7.Adjusting the Continuous Time Dynamic Hedging Framework -- 4.7.1.Discrete Δ and Extreme Market Moves -- 4.7.2.Gamma and Shadow Gamma -- 4.7.3.Vega and Volatility Surface Movements -- 4.7.4.Theta, and the Greek's Importance for Exotic Option Traders -- 4.7.5.Futures and Forwards to Hedge the Risk: Structured Products -- 4.8.Case Study -- 5.Structured Products on Energy -- 5.1.Structured Products on Energy: Main Typology -- 5.2.Retail Structured Products -- 5.2.1.Profiled Forward Contracts -- 5.2.2.Full Requirements Contracts -- 5.3.Wholesale Structured Products --

Contents note continued: 5.3.1.General Pricing Issues on Structured Products -- 5.3.2.Virtual Power Plants: Structure and Pricing Techniques -- 5.3.3.Virtual Refinery: Structure and Pricing Techniques -- 5.3.4.Virtual Gas Storage: Structure and Pricing Techniques -- 5.3.5.The Structure of Swing Contracts and Make-up Clause -- 5.4.Hedge in Incomplete Markets -- 5.5.Case Study: Structured Products -- 5.5.1.Virtual Power Plants -- 5.5.2.Swing on Gas -- 5.5.3.Virtual Refinery -- 6.Metatrading Strategies and Capital Allocation Techniques -- 6.1.Metatrading Definition and Fundamental Elements -- 6.2.Macroeconomic Megatrends: Understanding and Analysis -- 6.2.1.Keynesian Business Cycle Theory -- 6.2.2.Real Business Cycle Theory -- 6.2.3.Austrian Business Cycle Theory -- 6.2.4.Risk-based Business Cycle Theory -- 6.3.Trading Business Organizational Issues -- 6.3.1.Book Structuring -- 6.3.2.Internal Market -- 6.4.Capital Management Principles --

Contents note continued: 6.4.1.Economic Capital Definition and Initial Allocation -- 6.4.2.Risk Measurement and Integration Approaches for Energy Portfolios -- 6.4.3.Performance Assessment -- 6.4.4.The Dynamics of Capital Allocation (Capital Reallocation Process).

Abstract:

"This book guides readers through all the various aspects of energy trading from operational strategies and mathematical methods to practical techniques, providing support for energy trading managers, energy traders and energy trading analysts"--

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Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025557428	332.644 F518H 2012	1	Searching... Unknown

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Summary

To thrive in today's booming energy trading market you need cutting-edge knowledge of the latest energy trading strategies, backed up by rigorous testing and practical application

Unique in its practical approach, The Handbook of Energy Trading is your definitive guide. It provides a valuable insight into the latest strategies for trading energy--all tried and tested in maintaining a competitive advantage--illustrated with up-to-the-minute case studies from the energy sector.

The handbook takes you through the key aspects of energy trading, from operational strategies and mathematical methods to practical techniques, with advice on structuring your energy trading business to optimise success in the energy market.

A unique integrated market approach by authors who combine academic theory with vast professional and practical experience Guidance on the types of energy trading strategies and instruments and how they should be used

Soaring prices and increasingly complex global markets have created an explosion in the need for robust technical knowledge in the field of energy trading, derivatives, and risk management. The Handbook of Energy Trading is essential reading for all energy trading professionals, energy traders, and risk managers, and in fact anyone who has ever asked: 'what is energy trading?'