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

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...

"The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. Today, quants need a broad modeling skillset - one that transcends mathematics to price and hedge...

This book is a quantitative quide to barrier options in FX environments. Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in...