000			03229nam a2200409Ii 4500
001			9781787435278
003			UtOrBLW
005			20210303084857.0
006			m o d
007			cr un|||||||||
008			181217t20182019enk ob 001 0 eng d
020			_a9781787435278 (e-book)
040			_aUtOrBLW _beng _erda _cUtOrBLW
050		4	_aHD9502.A2 _bL48 2018
072		7	_aUY _2bicssc
072		7	_aCOM000000 _2bisacsh
080			_a338
082	0	4	_a333.79 _223
100	1		_aLevy, George, _eauthor.
245	1	0	_aEnergy power risk : _bderivatives, computation and optimization / _cGeorge Levy (RWE npower, UK).
264		1	_bEmerald Publishing Limited,
300			_a1 online resource (xvii, 326 pages) ; _ccm
504			_aIncludes bibliographical references and index.
505	0		_aPrelims -- 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			_a'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		_aPrint version record
650		0	_aPower resources _xRisk management _xMathematical models.
650		0	_aPower resources _xRisk management _xData processing.
650		7	_aComputers _xGeneral. _2bisacsh
650		7	_aComputer science. _2bicssc
776			_z9781787435285
856	4	0	_uhttps://www.emerald.com/insight/publication/doi/10.1108/9781787435278
999			_c29892 _d29892