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portada Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Type
Physical Book
Author
Publisher
Language
English
Pages
133
Format
Hardcover
Dimensions
23.2x15.2x0.2 cm
Weight
0.41 kg.
ISBN13
9789811956027
Categories

Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

Shigeyuki Hamori (Author) · Tadahiro Nakajima (Author) · Springer · Hardcover

Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy - Nakajima, Tadahiro ; Hamori, Shigeyuki

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Synopsis "Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy"

This book introduces empirical methods for analyzing energy markets. Even beginners in econometrics and mathematical finance must be able to learn how to utilize these methodologies and how to interpret the analysis results. This book provides some example analyses of the North American, European, and Asian energy markets. The reader will experience some theories and practices of energy trading and risk management. This book reveals the characteristics of energy markets using quantitative analyses. Examples include unit root, cointegration, long-term equilibrium, stochastic arbitrage simulation, multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models, exponential GARCH (EGARCH) models, optimal hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA) models, connectedness, and frequency decomposition. This book is suitable for people interested in the empirical study of energy markets and energy trade.

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