Energy Power Risk: Derivatives, Computation and Optimization

George Levy
RWE npower, UK

Product Details
10 Dec 2018
Emerald Publishing Limited
344 pages - 152 x 229mm
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.
Chapter 1. Overview
Chapter 2. Brownian Motion and Stochastic Processes  
Chapter 3. Fundamental Power Price Model 
Chapter 4. Single Asset European Options 
Chapter 5. Single Asset American Style Options 
Chapter 6. Multi-Asset Options 
Chapter 7. Power Contracts 
Chapter 8. Portfolio Optimisation 
Chapter 9. Example C++ Classes 
Appendix A. The Greeks for Vanilla European Options 
Appendix B. Standard Statistical Results 
Appendix C. Statistical Distribution Functions
Appendix D. Mathematical Reference 
Appendix E. Answers to Problems
George Levy works as a Quantitative Analyst at RWE npower developing systems to estimate both the risk and value associated with energy contracts. He has been invited to speak at numerous conferences and published articles in various international journals including: Energy Risk Magazine, The Journal of Computational Finance, and Software Practice & Experience. He is also the author of two books: Computational Finance: Numerical Methods for Pricing Financial Derivatives, Academic Press (2004), and Computational Finance using C and C#: Derivatives and Valuation (2nd Edition), Academic Press (2016).

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