Book contents
- Frontmatter
- Contents
- Preface
- I Introduction to Energy Commodities
- II Basic Valuation and Hedging
- III Primary Valuation Issues
- IV Multifactor Models
- V Advanced Methods and Structures
- VI Additional Topics
- Appendixes
- A Black-76 and Margrabe
- B Portfolio Mathematics
- C Gaussian Exponential Factor Models
- D Common Tradables
- Bibliography
- Index
B - Portfolio Mathematics
Published online by Cambridge University Press: 05 June 2014
- Frontmatter
- Contents
- Preface
- I Introduction to Energy Commodities
- II Basic Valuation and Hedging
- III Primary Valuation Issues
- IV Multifactor Models
- V Advanced Methods and Structures
- VI Additional Topics
- Appendixes
- A Black-76 and Margrabe
- B Portfolio Mathematics
- C Gaussian Exponential Factor Models
- D Common Tradables
- Bibliography
- Index
Summary
- Type
- Chapter
- Information
- Valuation and Risk Management in Energy Markets , pp. 455 - 457Publisher: Cambridge University PressPrint publication year: 2014