MARC details
| 000 -LEADER |
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| fixed length control field |
03229nam a2200409Ii 4500 |
| 001 - CONTROL NUMBER |
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| control field |
9781787435278 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
UtOrBLW |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20210303084857.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS |
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| fixed length control field |
m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr un||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
181217t20182019enk ob 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781787435278 (e-book) |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
UtOrBLW |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
UtOrBLW |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HD9502.A2 |
| Item number |
L48 2018 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
UY |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
COM000000 |
| Source |
bisacsh |
| 080 ## - UNIVERSAL DECIMAL CLASSIFICATION NUMBER |
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| Universal Decimal Classification number |
338 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
333.79 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Levy, George, |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Energy power risk : |
| Remainder of title |
derivatives, computation and optimization / |
| Statement of responsibility, etc. |
George Levy (RWE npower, UK). |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Name of producer, publisher, distributor, manufacturer |
Emerald Publishing Limited, |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (xvii, 326 pages) ; |
| Dimensions |
cm |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Prelims -- Overview -- Brownian motion and stochastic processes -- Fundamental power price model -- Single asset European options -- Single asset American style options -- Multi-asset options -- Power contracts -- Portfolio optimization -- Example C++ classes -- The Greeks for vanilla European options -- Standard statistical results -- Statistical distribution functions -- Mathematical reference -- Answers to problems -- References -- Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
'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. |
| 588 0# - SOURCE OF DESCRIPTION NOTE |
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| Source of description note |
Print version record |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Power resources |
| General subdivision |
Risk management |
| -- |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Power resources |
| General subdivision |
Risk management |
| -- |
Data processing. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Computers |
| General subdivision |
General. |
| Source of heading or term |
bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Computer science. |
| Source of heading or term |
bicssc |
| 776 ## - ADDITIONAL PHYSICAL FORM ENTRY |
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| International Standard Book Number |
9781787435285 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="https://www.emerald.com/insight/publication/doi/10.1108/9781787435278">https://www.emerald.com/insight/publication/doi/10.1108/9781787435278</a> |
