Modeling and Valuation of Energy Structures

Analytics, Econometrics, and Numerics

Business & Finance, Economics, Econometrics, Finance & Investing, Finance
Cover of the book Modeling and Valuation of Energy Structures by Daniel Mahoney, Palgrave Macmillan UK
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Daniel Mahoney ISBN: 9781137560155
Publisher: Palgrave Macmillan UK Publication: January 26, 2016
Imprint: Palgrave Macmillan Language: English
Author: Daniel Mahoney
ISBN: 9781137560155
Publisher: Palgrave Macmillan UK
Publication: January 26, 2016
Imprint: Palgrave Macmillan
Language: English

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.

More books from Palgrave Macmillan UK

Cover of the book Europe's Next Avoidable War by Daniel Mahoney
Cover of the book Ethical Issues in International Communication by Daniel Mahoney
Cover of the book Who Runs the Economy? by Daniel Mahoney
Cover of the book Agenda Dynamics in Spain by Daniel Mahoney
Cover of the book The Politics of Culture by Daniel Mahoney
Cover of the book The Palgrave Handbook of Social Theory in Health, Illness and Medicine by Daniel Mahoney
Cover of the book Feminisms, HIV and AIDS by Daniel Mahoney
Cover of the book A History of the Norwegian Press, 1660-2015 by Daniel Mahoney
Cover of the book Flemish Nationalism and the Great War by Daniel Mahoney
Cover of the book Prospects and Challenges of Free Trade Agreements by Daniel Mahoney
Cover of the book Shakespeare's Anti-Politics by Daniel Mahoney
Cover of the book Evolving Agendas in European English-Medium Higher Education by Daniel Mahoney
Cover of the book Power, Media, Culture by Daniel Mahoney
Cover of the book Inferentialism by Daniel Mahoney
Cover of the book Minority Languages in the Linguistic Landscape by Daniel Mahoney
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy