Energy Risk Modeling: Applied Modeling Methods for Risk Managers

✍ Scribed by Nigel Da Costa Lewis (auth.)

• Publisher: Palgrave Macmillan UK
• Year: 2005
• Tongue: English
• Leaves: 263
• Series: Finance and Capital Markets Series
• Category: Library

✦ Table of Contents

Front Matter....Pages i-xix
The Statistical Nature of Energy Risk Modeling....Pages 1-17
Front Matter....Pages 19-19
Introduction to Applied Probability for Energy Risk Management....Pages 21-40
Descriptive Statistics of Energy Prices and Returns....Pages 41-52
Inferential Statistical Methods for Energy Risk Managers....Pages 53-62
Front Matter....Pages 63-64
Modeling and Fitting Price Distributions....Pages 65-106
Nonparametric Density Estimation for Energy Price Returns....Pages 107-124
Correlation Analysis....Pages 125-150
A Primer in Applied Regression Analysis....Pages 151-168
Multiple Regression and Prediction....Pages 169-178
Misspecification Testing....Pages 179-186
Non-linear and Limited Dependent Regression....Pages 187-195
Modeling Energy Price Volatility....Pages 196-212
Stochastic Differential Equations for Derivative Pricing and Energy Risk Management....Pages 213-226
Back Matter....Pages 227-247

✦ Subjects

Business Finance; Risk Management; Investments and Securities