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Energy Power Risk: Derivatives, Computation and Optimization is a
comprehensive guide presenting the latest mathematical and
computational tools required for the quantification and management
of energy power risk. Written by a practitioner with many years'
experience in the field, it provides readers with valuable insights
in to the latest practices and methodologies used in today's
markets, showing readers how to create innovative quantitative
models for energy and power risk and derivative valuation. The book
begins with an introduction to the mathematics of Brownian motion
and stochastic processes, covering Geometric Brownian motion, Ito's
lemma, Ito's Isometry, the Ornstein Uhlenbeck process and more. It
then moves on to the simulation of power prices and the valuation
of energy derivatives, before considering software engineering
techniques for energy risk and portfolio optimization. The book
also covers additional topics including wind and solar generation,
intraday storage, generation and demand optionality. Written in a
highly practical manner and with example C++ and VBA code provided
throughout, Energy Power Risk: Derivatives, Computation and
Optimization will be an essential reference for quantitative
analysts, financial engineers and other practitioners in the field
of energy risk management, as well as researchers and students
interested in the industry and how it works.
Computational Finance Using C and C#: Derivatives and Valuation,
Second Edition provides derivatives pricing information for equity
derivatives, interest rate derivatives, foreign exchange
derivatives, and credit derivatives. By providing free access to
code from a variety of computer languages, such as Visual
Basic/Excel, C++, C, and C#, it gives readers stand-alone examples
that they can explore before delving into creating their own
applications. It is written for readers with backgrounds in basic
calculus, linear algebra, and probability. Strong on mathematical
theory, this second edition helps empower readers to solve their
own problems. *Features new programming problems, examples, and
exercises for each chapter. *Includes freely-accessible source code
in languages such as C, C++, VBA, C#, and Excel.. *Includes a new
chapter on the history of finance which also covers the 2008 credit
crisis and the use of mortgage backed securities, CDSs and CDOs.
*Emphasizes mathematical theory.
Computational Finance presents a modern computational approach to
mathematical finance within the Windows environment, and contains
financial algorithms, mathematical proofs and computer code in
C/C++. The author illustrates how numeric components can be
developed which allow financial routines to be easily called by the
complete range of Windows applications, such as Excel, Borland
Delphi, Visual Basic and Visual C++.
These components permit software developers to call mathematical
finance functions more easily than in corresponding packages.
Although these packages may offer the advantage of interactive
interfaces, it is not easy or computationally efficient to call
them programmatically as a component of a larger system. The
components are therefore well suited to software developers who
want to include finance routines into a new application.
Typical readers are expected to have a knowledge of calculus,
differential equations, statistics, Microsoft Excel, Visual Basic,
C++ and HTML.
A CD-ROM is included which contains: working computer code,
demonstration applications and also pdf versions of several
research articles.
* Enables reader to incorporate advanced financial modelling
techniques in Windows compatible software
* Aids the development of bespoke software solutions covering GARCH
volatility modelling, derivative pricing with Partial Differential
Equations, VAR, bond and stock options
* Includes CD-ROM with adaptive software
This scarce antiquarian book is a selection from Kessinger
Publishing's Legacy Reprint Series. Due to its age, it may contain
imperfections such as marks, notations, marginalia and flawed
pages. Because we believe this work is culturally important, we
have made it available as part of our commitment to protecting,
preserving, and promoting the world's literature. Kessinger
Publishing is the place to find hundreds of thousands of rare and
hard-to-find books with something of interest for everyone!
This scarce antiquarian book is a selection from Kessinger
Publishing's Legacy Reprint Series. Due to its age, it may contain
imperfections such as marks, notations, marginalia and flawed
pages. Because we believe this work is culturally important, we
have made it available as part of our commitment to protecting,
preserving, and promoting the world's literature. Kessinger
Publishing is the place to find hundreds of thousands of rare and
hard-to-find books with something of interest for everyone
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