By Dr Glen Swindle
ISBN-10: 1107036844
ISBN-13: 9781107036840
Valuation and probability administration in strength Markets surveys the mechanics of strength markets and the valuation of buildings more often than not bobbing up in perform. The presentation balances quantitative matters and practicalities dealing with portfolio managers, with massive realization paid to the ways that universal equipment fail in perform and to substitute equipment once they exist. the fabric spans simple basics of markets, statistical research of cost dynamics, and a chain of more and more not easy constructions, concluding with matters coming up on the firm point. In totality, the cloth has been chosen to supply readers with the analytical starting place required to operate in sleek strength buying and selling and chance administration teams.
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Extra resources for Valuation and Risk Management in Energy Markets
Sample text
In practice this deal structure, referred to in the business as a park-and-loan, usually involves repo in the natural direction, namely, buying in the cheaper months and storing to the expensive months when demand is higher. 9) where r(t, T) denotes the funding rate from t to T, which is usually assumed to be the London Interbank Offered Rate (LIBOR). More generally, the 14 A reverse-repo entails acquiring the desired asset or commodity and lending the cash value at inception and reversing the transaction at a later time by returning the asset or commodity and receiving the cash and accrued interest.
Two features stand out in the preceding examples. First, vanilla energy options markets involve optionality across widely varying time scales. At the 13 Here the payout is implicitly autoexercise or lookback–positive if the realized spot price index exceeds the strike in the case of a call. In practice, most daily options in natural gas and power are exercised manually the day before. We will discuss this in greater detail in Chapter 8. Forwards and Carry 23 long end of the spectrum are the annual swaptions, exercising into calendar swaps; on intermediate time scales are the options exercising into monthly delivery.
5 Refinery yields vary by technology and desired output. 6 The middle distillates, consisting of diesel, heating oil, and kerosenes (including jet fuel), constitute about 35 percent of the output. Finally, the heavy distillates such as residual fuel oil and asphalt account for roughly 15 percent of output7 [Dow09] [EIAa]. Each of the three main categories subsumes a number of distinct refined products. The most commonly traded and liquid markets are gasoline (light), heating oil or gas oil (middle) and, residual fuel oil or resid (heavy).