Energy Trading and Risk Management
A Practical Approach to Hedging, Trading and Portfolio Diversification
1. Auflage
Erschienen am 7. April 2014
304 Seiten
978-1-118-33936-7 (ISBN)
Beschreibung
A comprehensive overviewof trading and risk management in the energy markets
Energy Trading and Risk Management provides a comprehensiveoverview of global energy markets from one of the foremostauthorities on energy derivatives and quantitative finance. With anapproachable writing style, Iris Mack breaks down the three primaryapplications for energy derivatives markets - RiskManagement, Speculation, and Investment Portfolio Diversification- in a way that hedge fund traders, consultants, and energymarket participants can apply in their day to day tradingactivities.
* Moving from the fundamentals ofenergy markets through simple and complex derivatives trading,hedging strategies, and industry-specific case studies, Dr. Mackwalks readers through energy trading and risk management conceptsat an instructive pace, supporting her explanations with real-worldexamples, illustrations, charts, and precise definitions ofimportant and often-misunderstood terms.
* From stochastic pricing modelsfor exotic derivatives, to modern portfolio theory (MPT), energyportfolio management (EPM), to case studies dealing specificallywith risk management challenges unique to wind and hydro-electricpower, the bookguides readers through the complex world of energytrading and risk management to help investors, executives, andenergy professionals ensure profitability and optimal riskmitigation in every market climate.
Energy Trading and RiskManagement is a great resource to help grapple with the veryinteresting but oftentimes complex issues that arise in energytrading and risk management.
Rezensionen / Stimmen
In the challenging world of energy trading, fortune favours the prepared. Whether one is brave enough (or not) comes second and not having a clear strategy would be borderline foolishness. Given such a backdrop, almost inevitably, there are resources aplenty targeting those who feel the need to be better informed and equipped. Among the latest reference sources, industry veteran and academic Dr Iris Marie Mack's book Energy Trading and Risk Management published by Wiley is a pretty compelling one. I instantly warmed up to the book barely a chapter in, struck by its practical approach, balanced tone, contextualised narrative and a genuine desire on the author's part to define terms and methodologies for the benefit of those with a mid-tier investment knowledge base. Furthermore, the instructive narrative seeks to bring about a holistic understanding of how energy markets work to begin with, leading on to an adequate treatment of risk, speculation and portfolio diversity tenets. The format in which 'Energy Trading and Risk Management' is minutely sub-sectioned point to point is simply splendid. So should you wish to salami slice and pick up bits of the subject, it would serve you just as well as a cover to cover read through. Conversely, if you are confident enough to skip the basics and go straight through to concepts and formulas, the sequential flow of text in each chapter helps you breeze through basic definitions usually quoted in boxed text on to what you are after. Accompanying the text are charts, case studies, background briefs, notes on macro drivers and definitions at various points split into ten weighty sub-sectioned chapters in a book of around 270 pages. From contango to the modern portfolio theory, from risk management in the renewables business to mitigation in an ever changing market climate - it's all there and duly referenced. While I appreciated Dr Mack's work in its entirety, a chapter on exotic energy derivatives (which follows a passage on the plain vanilla variety) stood out for me. One would be happy to recommend this title to energy professionals, fellow energy analysts and those with a desire to pursue energy trading as a career pathway. It would most definitely appeal to entrants finding their feet in the market as well as established participants wanting to refresh their thinking and methodologies. Ultimately, for every reader this title is bound to morph from being an informative and educational book at the point of first reading, to an invaluable reference source as and when subsequently needed. That makes it worthy of any energy sector professional's bookshelf.--Gaurav SharmaWeitere Details
Weitere Ausgaben
Person
IRIS MACK, PHD, EMBA, earned a Harvard doctorate in Applied Mathematics and a London Business School Sloan Fellow MBA. She is a former MIT professor and Derivatives Quant/Trader who has worked in financial institutions in the U.S., London, and Asia. She has also spent some of her professional career at NASA, Boeing, and AT&T Bell Laboratories - where she obtained a patent for research on optical fibers.
Dr. Mack lectures and consults on energy derivatives, quantitative finance, and high frequency trading, and serves on various boards, including National Academy of Sciences Transportation Research Board, AlgoAnalytics Trading and Financial Analytics (India), MarketExpress Financial News and Research (India), Women Mentor Women Foundation, and I Can Still Do That Foundation.
Dr. Mack founded Phat Math Inc. and The Global Energy Post in Miami, Florida. She and her colleagues at Phat Math launched their prototype mathematics edutainment social network PhatMath.com. Students in grades K-12 and college have access to free 24/7 online math homework help on PhatMath.com -- named one of the Top 50 Social Sites for Educators and Academics and 25 Useful Networking Sites for Grad Students.
To learn more about Iris and her website, please visit www.GlobalEnergyPost.com.
Inhalt
1 - Energy Trading and Risk Management [Seite 3]
2 - Contents [Seite 9]
3 - Preface [Seite 15]
4 - Acknowledgments [Seite 27]
5 - About the Author [Seite 29]
6 - About the Contributors [Seite 31]
7 - Chapter 1 Energy Markets Fundamentals [Seite 33]
7.1 - 1.1 Physical Forward and Futures Markets [Seite 35]
7.2 - 1.2 Spot Market [Seite 37]
7.3 - 1.3 Intraday Market [Seite 42]
7.4 - 1.4 Balancing and Reserve Market [Seite 42]
7.5 - 1.5 Congestion Revenue Rights, Financial Transmission Rights, and Transmission Congestion Contracts [Seite 43]
7.6 - 1.6 Chapter Wrap-Up [Seite 44]
7.7 - References [Seite 45]
8 - Chapter 2 Quant Models in the Energy Markets: Role and Limitations [Seite 47]
8.1 - 2.1 Spot Prices [Seite 49]
8.1.1 - 2.1.1 Random Walk Jump-Diffusion Model [Seite 51]
8.1.2 - 2.1.2 Mean Reversion: Ornstein-Uhlenbeck Process [Seite 55]
8.1.3 - 2.1.3 Mean Reversion: Schwartz Type 1 Stochastic Process [Seite 57]
8.1.4 - 2.1.4 Mean Reversion with Jumps [Seite 57]
8.1.5 - 2.1.5 Two-Factor Model [Seite 58]
8.1.6 - 2.1.6 Negative Prices [Seite 59]
8.2 - 2.2 Forward Prices [Seite 60]
8.2.1 - 2.2.1 Forward and Futures Markets [Seite 60]
8.2.2 - 2.2.2 Contango and Backwardation [Seite 62]
8.3 - 2.3 Chapter Wrap-Up [Seite 63]
8.4 - References [Seite 63]
9 - Chapter 3 Plain Vanilla Energy Derivatives [Seite 65]
9.1 - 3.1 Definition of Energy Derivatives [Seite 66]
9.2 - 3.2 Global Commodity Exchanges [Seite 67]
9.3 - 3.3 Energy Derivatives Pricing Models [Seite 68]
9.4 - 3.4 Settlement [Seite 69]
9.5 - 3.5 Energy Derivatives Quant Models: Role and Limitations [Seite 70]
9.6 - 3.6 Options [Seite 72]
9.6.1 - 3.6.1 Volatility [Seite 74]
9.7 - 3.7 Vanilla Options [Seite 75]
9.7.1 - 3.7.1 Option Style [Seite 76]
9.7.2 - 3.7.2 Exchange-Traded and Over-the-Counter Options [Seite 76]
9.7.3 - 3.7.3 In-the-Money, At-the-Money, and Out-of-the-Money Options [Seite 77]
9.7.4 - 3.7.4 Put-Call Parity [Seite 78]
9.8 - 3.8 European Options [Seite 79]
9.9 - 3.9 American Options [Seite 82]
9.10 - 3.10 Swaps [Seite 84]
9.11 - 3.11 Swaps to Futures [Seite 86]
9.12 - 3.12 Chapter Wrap-Up [Seite 86]
9.13 - References [Seite 86]
10 - Chapter 4 Exotic Energy Derivatives [Seite 91]
10.1 - 4.1 Asian Options [Seite 92]
10.1.1 - 4.1.1 Classes of Asian Options [Seite 93]
10.1.2 - 4.1.2 Payoffs of Asian Options [Seite 94]
10.1.3 - 4.1.3 Solutions to Asian Options [Seite 95]
10.1.4 - 4.1.4 Asian Options in the Energy Markets [Seite 95]
10.2 - 4.2 Barrier Options [Seite 95]
10.2.1 - 4.2.1 Eight Types of Barrier Options [Seite 96]
10.2.2 - 4.2.2 Partial Barrier Options [Seite 97]
10.2.3 - 4.2.3 Solutions to Barrier Options [Seite 98]
10.2.4 - 4.2.4 Barrier Options in the Energy Markets [Seite 98]
10.3 - 4.3 Digital Options [Seite 98]
10.3.1 - 4.3.1 Types of Digital Options [Seite 99]
10.3.2 - 4.3.2 Solutions to Digital Options [Seite 101]
10.3.3 - 4.3.3 Digital Options in the Energy Markets [Seite 101]
10.4 - 4.4 Real Options [Seite 103]
10.4.1 - 4.4.1 Real Options in the Electric Power Markets [Seite 103]
10.4.2 - 4.4.2 Case Study: Real Options in the Oil Markets [Seite 104]
10.4.3 - 4.4.3 Limitations of the Real Options Valuation Paradigm [Seite 105]
10.5 - 4.5 Multiasset Options [Seite 106]
10.5.1 - 4.5.1 Pricing Multiasset Options [Seite 106]
10.6 - 4.6 Spread Options [Seite 107]
10.6.1 - 4.6.1 Crack Spreads [Seite 108]
10.6.2 - 4.6.2 Spark Spreads [Seite 114]
10.6.3 - 4.6.3 Dark Spreads [Seite 117]
10.7 - 4.7 Perpetual American Options [Seite 118]
10.7.1 - 4.7.1 Perpetual American Options in the Power Industry [Seite 119]
10.8 - 4.8 Compound Options [Seite 119]
10.8.1 - 4.8.1 Tolling Agreements: Example of Compound Options in Power Markets [Seite 121]
10.9 - 4.9 Swaptions [Seite 122]
10.9.1 - 4.9.1 Energy Swaptions [Seite 123]
10.10 - 4.10 Swing Options [Seite 124]
10.11 - 4.11 Chapter Wrap-Up [Seite 126]
10.12 - References [Seite 126]
11 - Chapter 5 Risk Management and Hedging Strategies [Seite 131]
11.1 - 5.1 Introduction to Hedging [Seite 134]
11.2 - 5.2 Price Risk [Seite 136]
11.3 - 5.3 Basis Risk [Seite 139]
11.3.1 - 5.3.1 Basis Risk Case Study [Seite 140]
11.3.2 - 5.3.2 Metallgesellchaft Case: Stack and Roll Hedging Disaster [Seite 141]
11.4 - 5.4 The Option "Greeks" [Seite 142]
11.5 - 5.5 Delta Hedging [Seite 143]
11.6 - 5.6 Gamma Hedging [Seite 145]
11.7 - 5.7 Vega Hedging [Seite 147]
11.8 - 5.8 Cross-Hedging Greeks [Seite 148]
11.9 - 5.9 Quant Models Used to Manage Energy Risk: Role and Limitations [Seite 148]
11.9.1 - 5.9.1 Regression Analysis [Seite 149]
11.9.2 - 5.9.2 Stress Test [Seite 152]
11.9.3 - 5.9.3 Value at Risk [Seite 155]
11.10 - 5.10 Chapter Wrap-Up [Seite 156]
11.11 - References [Seite 156]
12 - Chapter 6 Illustrations of Hedging with Energy Derivatives [Seite 159]
12.1 - 6.1 Hedging with Futures Contracts [Seite 161]
12.1.1 - 6.1.1 Case Studies and Examples: Hedging with Futures Contracts [Seite 162]
12.1.2 - 6.1.2 Risks Associated with Hedging with Futures Contracts [Seite 170]
12.2 - 6.2 Hedging with Forward Contracts [Seite 173]
12.3 - 6.3 Hedging with Options [Seite 175]
12.3.1 - 6.3.1 Case Study: Call Options Used to Set a "Cap" on Gasoline Prices [Seite 175]
12.3.2 - 6.3.2 Example: How Power Generators Use Options on Futures to Hedge [Seite 176]
12.3.3 - 6.3.3 Example: How End Users Utilize Options on Futures to Hedge [Seite 177]
12.3.4 - 6.3.4 Example: How Power Marketers Use Options on Futures to Hedge [Seite 177]
12.4 - 6.4 Hedging with Swaps [Seite 178]
12.4.1 - 6.4.1 Example: Fuel Swap [Seite 180]
12.4.2 - 6.4.2 Example: Electricity Swap [Seite 181]
12.4.3 - 6.4.3 Case Study: Natural Gas Basis Swap [Seite 182]
12.5 - 6.5 Hedging with Crack Spread Options [Seite 183]
12.5.1 - 6.5.1 Case Study: Hedging with Crack Spread Options [Seite 185]
12.6 - 6.6 Hedging with Spark Spreads [Seite 186]
12.6.1 - 6.6.1 Case Study: Power Producer Uses Spark Spread to Protect Margin [Seite 186]
12.7 - 6.7 Hedging with Other Energy Derivatives [Seite 189]
12.8 - 6.8 Chapter Wrap-Up [Seite 190]
12.9 - References [Seite 190]
13 - Chapter 7 Speculation [Seite 193]
13.1 - 7.1 Convergence of Energy and Financial Markets [Seite 194]
13.2 - 7.2 Trading Terminology [Seite 199]
13.3 - 7.3 Energy Products Trading Codes [Seite 201]
13.4 - 7.4 Futures Trading Symbols: Month Code Abbreviation [Seite 202]
13.5 - 7.5 Fundamental and Technical Analyses [Seite 203]
13.6 - 7.6 Trading Tools: Charts and Quotes [Seite 205]
13.7 - 7.7 Energy Trading Market Participants [Seite 208]
13.8 - 7.8 Speculation in the Oil Markets [Seite 214]
13.9 - 7.9 Speculation in the Electricity Markets [Seite 216]
13.10 - 7.10 Speculation in the Natural Gas Markets [Seite 217]
13.11 - 7.11 Chapter Wrap-Up [Seite 219]
13.12 - References [Seite 219]
14 - Chapter 8 Energy Portfolios [Seite 223]
14.1 - 8.1 Modern Portfolio Theory [Seite 224]
14.2 - 8.2 Energy Portfolio Management [Seite 228]
14.3 - 8.3 Optimization of Electricity Portfolios [Seite 229]
14.3.1 - 8.3.1 Case Study: Economic Load Dispatch of a Portfolio of Gas-fired Power Plants [Seite 231]
14.4 - 8.4 Optimization of Gas Portfolios [Seite 233]
14.5 - 8.5 Other Energy Portfolio Management Models [Seite 235]
14.6 - 8.6 Chapter Wrap-Up [Seite 235]
14.7 - References [Seite 236]
15 - Chapter 9 Hedging Nonlinear Payoffs Using Options: The Case of a New Subsidies Regime for Renewables [Seite 239]
15.1 - 9.1 Renewable Energy, Options Pricing, and Government Subsidies [Seite 241]
15.1.1 - 9.1.1 Power Assets Modeled as a Vanilla Call Option [Seite 242]
15.1.2 - 9.1.2 Strike Price of a Wind Turbine [Seite 243]
15.1.3 - 9.1.3 Levelized Cost Price of Electricity [Seite 243]
15.1.4 - 9.1.4 Wind Turbines' Competitiveness on the Electricity Market [Seite 245]
15.2 - 9.2 Government Subsidies as a Stochastic Process [Seite 248]
15.3 - 9.3 Impact of Embedded Options and Stochastic Subsidies on Pricing and Risk Management [Seite 251]
15.3.1 - 9.3.1 Pricing of a Wind Turbine and Subsidies as an Embedded Option [Seite 251]
15.3.2 - 9.3.2 Tail Risk and Hedging Options with Options [Seite 254]
15.4 - 9.4 Chapter Wrap-Up [Seite 256]
15.5 - References [Seite 257]
16 - Chapter 10 Case Study: Hydro Power Generation and Behavioral Finance in the U.S. Pacific Northwest [Seite 259]
16.1 - 10.1 An Overview of Behavioral Finance [Seite 261]
16.2 - 10.2 Behavioral Finance in Energy Economics [Seite 263]
16.3 - 10.3 Power Generation in the Pacific Northwest [Seite 264]
16.4 - 10.4 Behavioral Financing of Projects in the Pacific Northwest [Seite 267]
16.5 - 10.5 Northwest Power Planning [Seite 271]
16.5.1 - 10.5.1 Resource Availability [Seite 271]
16.5.2 - 10.5.2 Resource Cost [Seite 271]
16.5.3 - 10.5.3 System Flexibility [Seite 272]
16.5.4 - 10.5.4 Cost Effectiveness [Seite 273]
16.5.5 - 10.5.5 Transmission [Seite 273]
16.6 - 10.6 Chapter Wrap-Up [Seite 273]
16.7 - Reference [Seite 274]
17 - Bibliography [Seite 275]
18 - Index [Seite 291]
2 - Contents [Seite 9]
3 - Preface [Seite 15]
4 - Acknowledgments [Seite 27]
5 - About the Author [Seite 29]
6 - About the Contributors [Seite 31]
7 - Chapter 1 Energy Markets Fundamentals [Seite 33]
7.1 - 1.1 Physical Forward and Futures Markets [Seite 35]
7.2 - 1.2 Spot Market [Seite 37]
7.3 - 1.3 Intraday Market [Seite 42]
7.4 - 1.4 Balancing and Reserve Market [Seite 42]
7.5 - 1.5 Congestion Revenue Rights, Financial Transmission Rights, and Transmission Congestion Contracts [Seite 43]
7.6 - 1.6 Chapter Wrap-Up [Seite 44]
7.7 - References [Seite 45]
8 - Chapter 2 Quant Models in the Energy Markets: Role and Limitations [Seite 47]
8.1 - 2.1 Spot Prices [Seite 49]
8.1.1 - 2.1.1 Random Walk Jump-Diffusion Model [Seite 51]
8.1.2 - 2.1.2 Mean Reversion: Ornstein-Uhlenbeck Process [Seite 55]
8.1.3 - 2.1.3 Mean Reversion: Schwartz Type 1 Stochastic Process [Seite 57]
8.1.4 - 2.1.4 Mean Reversion with Jumps [Seite 57]
8.1.5 - 2.1.5 Two-Factor Model [Seite 58]
8.1.6 - 2.1.6 Negative Prices [Seite 59]
8.2 - 2.2 Forward Prices [Seite 60]
8.2.1 - 2.2.1 Forward and Futures Markets [Seite 60]
8.2.2 - 2.2.2 Contango and Backwardation [Seite 62]
8.3 - 2.3 Chapter Wrap-Up [Seite 63]
8.4 - References [Seite 63]
9 - Chapter 3 Plain Vanilla Energy Derivatives [Seite 65]
9.1 - 3.1 Definition of Energy Derivatives [Seite 66]
9.2 - 3.2 Global Commodity Exchanges [Seite 67]
9.3 - 3.3 Energy Derivatives Pricing Models [Seite 68]
9.4 - 3.4 Settlement [Seite 69]
9.5 - 3.5 Energy Derivatives Quant Models: Role and Limitations [Seite 70]
9.6 - 3.6 Options [Seite 72]
9.6.1 - 3.6.1 Volatility [Seite 74]
9.7 - 3.7 Vanilla Options [Seite 75]
9.7.1 - 3.7.1 Option Style [Seite 76]
9.7.2 - 3.7.2 Exchange-Traded and Over-the-Counter Options [Seite 76]
9.7.3 - 3.7.3 In-the-Money, At-the-Money, and Out-of-the-Money Options [Seite 77]
9.7.4 - 3.7.4 Put-Call Parity [Seite 78]
9.8 - 3.8 European Options [Seite 79]
9.9 - 3.9 American Options [Seite 82]
9.10 - 3.10 Swaps [Seite 84]
9.11 - 3.11 Swaps to Futures [Seite 86]
9.12 - 3.12 Chapter Wrap-Up [Seite 86]
9.13 - References [Seite 86]
10 - Chapter 4 Exotic Energy Derivatives [Seite 91]
10.1 - 4.1 Asian Options [Seite 92]
10.1.1 - 4.1.1 Classes of Asian Options [Seite 93]
10.1.2 - 4.1.2 Payoffs of Asian Options [Seite 94]
10.1.3 - 4.1.3 Solutions to Asian Options [Seite 95]
10.1.4 - 4.1.4 Asian Options in the Energy Markets [Seite 95]
10.2 - 4.2 Barrier Options [Seite 95]
10.2.1 - 4.2.1 Eight Types of Barrier Options [Seite 96]
10.2.2 - 4.2.2 Partial Barrier Options [Seite 97]
10.2.3 - 4.2.3 Solutions to Barrier Options [Seite 98]
10.2.4 - 4.2.4 Barrier Options in the Energy Markets [Seite 98]
10.3 - 4.3 Digital Options [Seite 98]
10.3.1 - 4.3.1 Types of Digital Options [Seite 99]
10.3.2 - 4.3.2 Solutions to Digital Options [Seite 101]
10.3.3 - 4.3.3 Digital Options in the Energy Markets [Seite 101]
10.4 - 4.4 Real Options [Seite 103]
10.4.1 - 4.4.1 Real Options in the Electric Power Markets [Seite 103]
10.4.2 - 4.4.2 Case Study: Real Options in the Oil Markets [Seite 104]
10.4.3 - 4.4.3 Limitations of the Real Options Valuation Paradigm [Seite 105]
10.5 - 4.5 Multiasset Options [Seite 106]
10.5.1 - 4.5.1 Pricing Multiasset Options [Seite 106]
10.6 - 4.6 Spread Options [Seite 107]
10.6.1 - 4.6.1 Crack Spreads [Seite 108]
10.6.2 - 4.6.2 Spark Spreads [Seite 114]
10.6.3 - 4.6.3 Dark Spreads [Seite 117]
10.7 - 4.7 Perpetual American Options [Seite 118]
10.7.1 - 4.7.1 Perpetual American Options in the Power Industry [Seite 119]
10.8 - 4.8 Compound Options [Seite 119]
10.8.1 - 4.8.1 Tolling Agreements: Example of Compound Options in Power Markets [Seite 121]
10.9 - 4.9 Swaptions [Seite 122]
10.9.1 - 4.9.1 Energy Swaptions [Seite 123]
10.10 - 4.10 Swing Options [Seite 124]
10.11 - 4.11 Chapter Wrap-Up [Seite 126]
10.12 - References [Seite 126]
11 - Chapter 5 Risk Management and Hedging Strategies [Seite 131]
11.1 - 5.1 Introduction to Hedging [Seite 134]
11.2 - 5.2 Price Risk [Seite 136]
11.3 - 5.3 Basis Risk [Seite 139]
11.3.1 - 5.3.1 Basis Risk Case Study [Seite 140]
11.3.2 - 5.3.2 Metallgesellchaft Case: Stack and Roll Hedging Disaster [Seite 141]
11.4 - 5.4 The Option "Greeks" [Seite 142]
11.5 - 5.5 Delta Hedging [Seite 143]
11.6 - 5.6 Gamma Hedging [Seite 145]
11.7 - 5.7 Vega Hedging [Seite 147]
11.8 - 5.8 Cross-Hedging Greeks [Seite 148]
11.9 - 5.9 Quant Models Used to Manage Energy Risk: Role and Limitations [Seite 148]
11.9.1 - 5.9.1 Regression Analysis [Seite 149]
11.9.2 - 5.9.2 Stress Test [Seite 152]
11.9.3 - 5.9.3 Value at Risk [Seite 155]
11.10 - 5.10 Chapter Wrap-Up [Seite 156]
11.11 - References [Seite 156]
12 - Chapter 6 Illustrations of Hedging with Energy Derivatives [Seite 159]
12.1 - 6.1 Hedging with Futures Contracts [Seite 161]
12.1.1 - 6.1.1 Case Studies and Examples: Hedging with Futures Contracts [Seite 162]
12.1.2 - 6.1.2 Risks Associated with Hedging with Futures Contracts [Seite 170]
12.2 - 6.2 Hedging with Forward Contracts [Seite 173]
12.3 - 6.3 Hedging with Options [Seite 175]
12.3.1 - 6.3.1 Case Study: Call Options Used to Set a "Cap" on Gasoline Prices [Seite 175]
12.3.2 - 6.3.2 Example: How Power Generators Use Options on Futures to Hedge [Seite 176]
12.3.3 - 6.3.3 Example: How End Users Utilize Options on Futures to Hedge [Seite 177]
12.3.4 - 6.3.4 Example: How Power Marketers Use Options on Futures to Hedge [Seite 177]
12.4 - 6.4 Hedging with Swaps [Seite 178]
12.4.1 - 6.4.1 Example: Fuel Swap [Seite 180]
12.4.2 - 6.4.2 Example: Electricity Swap [Seite 181]
12.4.3 - 6.4.3 Case Study: Natural Gas Basis Swap [Seite 182]
12.5 - 6.5 Hedging with Crack Spread Options [Seite 183]
12.5.1 - 6.5.1 Case Study: Hedging with Crack Spread Options [Seite 185]
12.6 - 6.6 Hedging with Spark Spreads [Seite 186]
12.6.1 - 6.6.1 Case Study: Power Producer Uses Spark Spread to Protect Margin [Seite 186]
12.7 - 6.7 Hedging with Other Energy Derivatives [Seite 189]
12.8 - 6.8 Chapter Wrap-Up [Seite 190]
12.9 - References [Seite 190]
13 - Chapter 7 Speculation [Seite 193]
13.1 - 7.1 Convergence of Energy and Financial Markets [Seite 194]
13.2 - 7.2 Trading Terminology [Seite 199]
13.3 - 7.3 Energy Products Trading Codes [Seite 201]
13.4 - 7.4 Futures Trading Symbols: Month Code Abbreviation [Seite 202]
13.5 - 7.5 Fundamental and Technical Analyses [Seite 203]
13.6 - 7.6 Trading Tools: Charts and Quotes [Seite 205]
13.7 - 7.7 Energy Trading Market Participants [Seite 208]
13.8 - 7.8 Speculation in the Oil Markets [Seite 214]
13.9 - 7.9 Speculation in the Electricity Markets [Seite 216]
13.10 - 7.10 Speculation in the Natural Gas Markets [Seite 217]
13.11 - 7.11 Chapter Wrap-Up [Seite 219]
13.12 - References [Seite 219]
14 - Chapter 8 Energy Portfolios [Seite 223]
14.1 - 8.1 Modern Portfolio Theory [Seite 224]
14.2 - 8.2 Energy Portfolio Management [Seite 228]
14.3 - 8.3 Optimization of Electricity Portfolios [Seite 229]
14.3.1 - 8.3.1 Case Study: Economic Load Dispatch of a Portfolio of Gas-fired Power Plants [Seite 231]
14.4 - 8.4 Optimization of Gas Portfolios [Seite 233]
14.5 - 8.5 Other Energy Portfolio Management Models [Seite 235]
14.6 - 8.6 Chapter Wrap-Up [Seite 235]
14.7 - References [Seite 236]
15 - Chapter 9 Hedging Nonlinear Payoffs Using Options: The Case of a New Subsidies Regime for Renewables [Seite 239]
15.1 - 9.1 Renewable Energy, Options Pricing, and Government Subsidies [Seite 241]
15.1.1 - 9.1.1 Power Assets Modeled as a Vanilla Call Option [Seite 242]
15.1.2 - 9.1.2 Strike Price of a Wind Turbine [Seite 243]
15.1.3 - 9.1.3 Levelized Cost Price of Electricity [Seite 243]
15.1.4 - 9.1.4 Wind Turbines' Competitiveness on the Electricity Market [Seite 245]
15.2 - 9.2 Government Subsidies as a Stochastic Process [Seite 248]
15.3 - 9.3 Impact of Embedded Options and Stochastic Subsidies on Pricing and Risk Management [Seite 251]
15.3.1 - 9.3.1 Pricing of a Wind Turbine and Subsidies as an Embedded Option [Seite 251]
15.3.2 - 9.3.2 Tail Risk and Hedging Options with Options [Seite 254]
15.4 - 9.4 Chapter Wrap-Up [Seite 256]
15.5 - References [Seite 257]
16 - Chapter 10 Case Study: Hydro Power Generation and Behavioral Finance in the U.S. Pacific Northwest [Seite 259]
16.1 - 10.1 An Overview of Behavioral Finance [Seite 261]
16.2 - 10.2 Behavioral Finance in Energy Economics [Seite 263]
16.3 - 10.3 Power Generation in the Pacific Northwest [Seite 264]
16.4 - 10.4 Behavioral Financing of Projects in the Pacific Northwest [Seite 267]
16.5 - 10.5 Northwest Power Planning [Seite 271]
16.5.1 - 10.5.1 Resource Availability [Seite 271]
16.5.2 - 10.5.2 Resource Cost [Seite 271]
16.5.3 - 10.5.3 System Flexibility [Seite 272]
16.5.4 - 10.5.4 Cost Effectiveness [Seite 273]
16.5.5 - 10.5.5 Transmission [Seite 273]
16.6 - 10.6 Chapter Wrap-Up [Seite 273]
16.7 - Reference [Seite 274]
17 - Bibliography [Seite 275]
18 - Index [Seite 291]
