Energy Trading and Risk Management: A Practical Approach to Hedging, Trading and Portfolio Diversification

Index

A

• actual volatility
• alternate energy source
• American CON
• American options
  • perpetual
• AON. See asset-or-nothing
• arbitrageurs
• Asian options
  • classes of
  • hedging with
• asset-or-noting (AON)
• at-the-money
• ATM. See at-the-money
• AV. See actual volatility

B

• backwardation
• balancing market
• balancing services, types of
• Bank for International Settlements (BIS)
• bar chart
• barrier options
  • hedging with
  • partial
• barrier options, types of
• basis risk
• basis swap
  • commodity
  • natural gas
• basket options
• behavioral economics
• behavioral finance
  • energy economics in
  • modern portfolio theory vs.
  • use for projects in Pacific Northwest
• BIS. See Bank for International Settlements
• Black model
• Black-Scholes model
  • limitations of
• block trade
• Brownian motion

C

• calendar spreads, hedging with
• call options
• candlestick
• cash settlement
• cash-or-nothing (CON)
• cash-settled options, payoff
• CEV. See Constant Elasticity of Variance
• charm
• charts
• Chicago Mercantile Exchange (CME)
• clearing
• closed-form solution
• CME. See Chicago Mercantile Exchange
• commodity basis swap
• commodity derivatives
• commodity exchanges, global
• compound options
  • power markets and
• CON. See cash-or-nothing
• congestion revenue rights (CRR)
• Constant Elasticity of Variance
• constrained portfolio optimization
• contango
• continuous Asian options
• contract close, derivatives
• contract size
• control, frequency
• cost effectiveness
• crack spreads
• crack spread contracts
• crack spread options
  • benefits of
  • hedging with
• critical water
• cross-hedging Greeks
• CRR. ...