- Retrait gratuit dans votre magasin Club
- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
- Retrait gratuit dans votre magasin Club
- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
Energy Trading and Risk Management
Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Tadahiro Nakajima, Shigeyuki Hamori
165,45 €
+ 330 points
Format
Description
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.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 133
- Langue:
- Anglais
- Collection :
Caractéristiques
- EAN:
- 9789811956027
- Date de parution :
- 04-11-22
- Format:
- Livre relié
- Format numérique:
- Genaaid
- Dimensions :
- 152 mm x 232 mm
- Poids :
- 408 g
