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Contents
Introduction xi
CHAPTER 1 Markets 1
CHAPTER 2 Basic Products and Structures 18
CHAPTER 3 Data 63
CHAPTER 4 Reduced-form Processes 118
CHAPTER 5 Forward Price Processes 198
CHAPTER 6 Correlation 211
CHAPTER 7 Hybrid Process for Power Prices 251
CHAPTER 8 Structured Products: Fuels and Other Commodities 306
CHAPTER 9 Power Plants and Other Cross-commodity Derivatives 384
CHAPTER 10 Risk Management 434
APPENDIX A Multidimensional Monte Carlo Simulation with a Given
Volatility and Correlation Structure: The Case of GBM 461
APPENDIX B Optimization of Operations of Physical Assets 463
Bibliography 475
Index 483
[此贴子已经被作者于2009-2-18 21:59:01编辑过]
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