Preface ....................................................... vii
I Introduction to Energy Commodities
1 Context ...................................................... 3
2 Forwards and Carry .......................................... 14
3 Macro Perspective ........................................... 32
II Basic Valuation and Hedging
4 Risk-Neutral Valuation ...................................... 81
5 Dynamics of Forwards ........................................ 91
6 Swaps Books ................................................ 118
III Primary Valuation Issues
7 Term Structure of Volatility ............................... 139
8 Skew ....................................................... 160
9 Correlation ................................................ 187
IV Multifactor Models
10 Covariance, Spot Prices, and Factor Models ................. 223
11 Gaussian Exponential Factor Models ......................... 244
12 Modeling Paradigms ......................................... 258
V Advanced Methods and Structures
13 Natural Gas Storage ........................................ 297
14 Tolling Deals .............................................. 335
15 Variable-Quantity Swaps .................................... 375
VI Additional Topics
16 Control, Risk Metrics, and Credit .......................... 405
17 Conclusions ................................................ 432
Appendixes
A Black-76 and Margrabe ...................................... 447
В Portfolio Mathematics ...................................... 455
С Gaussian Exponential Factor Models ......................... 458
D Common Tradables ........................................... 464
Bibliography .................................................. 473
Index ......................................................... 479
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