This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling

The practice of quantitative risk management has reached unprecedented levels of refinement. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on advanced...

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...

Title -- Copyright -- Dedication -- Contents -- List of Figures -- List of Tables -- Preface -- Acknowledgments -- Selected List of Notation -- Classification and Abbreviations for Term Structure Models -- 1 Introduction -- 1.1 Chapteroverview -- 1.2 Suggested reading -- 1.2.1 Group...

This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for...