Name: Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy (en Inglés)
SKU: 59454714
Price: 350.13 PEN
Availability: InStock
Author: Nakajima, Tadahiro ; Hamori, Shigeyuki
ISBN: 9789811956058

portada Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy (en Inglés)

Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy (en Inglés)

Formato

Libro Físico

Autor

Shigeyuki Hamori

Tadahiro Nakajima

Editorial

Springer

Idioma

Inglés

N° páginas

133

Encuadernación

Tapa Blanda

ISBN13

9789811956058

Categorías

Econometría
Probabilidad y estadística

Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy (en Inglés)

Shigeyuki Hamori (Autor) · Tadahiro Nakajima (Autor) · Springer · Tapa Blanda

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Reseña del libro "Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy (en Inglés)"

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.