| 書目名稱 | Modeling and Valuation of Energy Structures | | 副標(biāo)題 | Analytics, Econometr | | 編輯 | Daniel Mahoney | | 視頻video | http://file.papertrans.cn/637/636208/636208.mp4 | | 叢書名稱 | Applied Quantitative Finance | | 圖書封面 |  | | 描述 | 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 u | | 出版日期 | Book 2016 | | 關(guān)鍵詞 | Energy markets; commodity markets; structured products; tolling; gas storage; econometrics; stochastic mod | | 版次 | 1 | | doi | https://doi.org/10.1057/9781137560155 | | isbn_ebook | 978-1-137-56015-5Series ISSN 2947-700X Series E-ISSN 2947-7018 | | issn_series | 2947-700X | | copyright | The Editor(s) (if applicable) and The Author(s) 2016 |
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