Universities that offers courses related to energy derivative
- ETH Zurich
https://library.wbi.ac.id/repository/55.pdf
Commodity Option Pricing 343
343pg textbook
https://core.ac.uk/download/pdf/144484481.pdf
Spot Price Models for Natural Gas - Robustness of the Convenience Yield Approach
phd dissertation 214pg
https://www.bauer.uh.edu/spirrong/pirrong_commodity_book_110310.pdf
256pg textbook
Commodity Price Dynamics A Structural Approach
electricity options, forward curve, storage,
https://repositorio.comillas.edu/jspui/bitstream/11531/1291/1/PFC000040.pdf
MODELING, PRICING AND HEDGING DERIVATIVES ON NATURAL GAS: AN ANALYSIS OF THE INFLUENCE OF THE UNDERLYING PHYSICAL MARKET
162 pg, masters thesis
numerical methods 20pg, spot model, forward model, PCA analysing forward model, case study on henry hub 2008-2013
many line graphs
heavy on teaching fundamental on natural gas trading
basic stochastics on derivative valuation
many accompanying python code
comment: extremely good for junior natural gas quant, basic stochastics
https://ethz.ch/content/dam/ethz/special-interest/math/applied-mathematics/sam-dam/teaching-and-studies/theses/BarryThorntonMSC.pdf
Electricity Spot Price Modelling and Derivatives Pricing
masters thesis, 66pg
spot modelling, levy process, risk neutral calibration to historical spot price, stochastics, pide derivation
comment: masters level thesis but with extensive high-level stochastics
https://essay.utwente.nl/67601/1/Roelofs_MA_BMS.pdf
Incorporating Seasonality and Volatility Updating in Gas Storage Valuation for the Purpose of Validation
masters thesis, 93 pg
forward curve analysis, garch, simulation
least square monte carlo method to optimize operation of gas storage
https://www.research-collection.ethz.ch/bitstream/handle/20.500.11850/4352/eth-29447-02.pdf
Modeling, Pricing and Risk Management of Power Derivatives
phd thesis
155 pg
modelling
historical model calibration
swing options
comment: extensive stochastics
https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=f1ecedfc1f25436eac2063dc3da8f0af213b7e26
Stochastic Programming Models in Energy
41pg textbook like
little stochastics, focusing more on how to run the code (e.g. optimization for calibration to historical data)
https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=830cbba147c9b576e2db5169ed191b9a5c022e46
Valuation of Commodity-Based Swing Options
32pg research paper
https://edoc.hu-berlin.de/bitstream/handle/18452/14817/zolotko.pdf?sequence=1
Modelling interdependence in a pair of heating oil and natural gas futures curves
masters thesis
68pg
https://prism.ucalgary.ca/server/api/core/bitstreams/2a0915d8-944f-4df5-8cee-b7ea1118ffdd/content
Locational Spread Options for natural gas with Stochastic Correlation
78pg research paper
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