Stochastic Differential Equations for Derivative Pricing and Energy Risk Management

  • Nigel Da Costa Lewis
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

The main objective of this chapter is twofold. First we introduce a number common stochastic processes used in the valuation of derivative contracts and financial simulations. Second, we consider their relevance to energy risk modeling.

Keywords

Transportation Hull Volatility Vanilla Hedging 

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Further Reading

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Copyright information

© Nigel Da Costa Lewis 2005

Authors and Affiliations

  • Nigel Da Costa Lewis

There are no affiliations available

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