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Palgrave Macmillan

Energy Risk Modeling

Applied Modeling Methods for Risk Managers

  • Book
  • © 2005

Overview

Authors:
  1. Nigel Costa Lewis
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (13 chapters)

  1. Front Matter

    Pages i-xix
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  2. The Statistical Nature of Energy Risk Modeling

    1. The Statistical Nature of Energy Risk Modeling

      • Nigel Da Costa Lewis
      Pages 1-17

  3. Statistical Foundations of Energy Risk Modeling

    1. Front Matter

      Pages 19-19
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    2. Introduction to Applied Probability for Energy Risk Management

      • Nigel Da Costa Lewis
      Pages 21-40

    3. Descriptive Statistics of Energy Prices and Returns

      • Nigel Da Costa Lewis
      Pages 41-52

    4. Inferential Statistical Methods for Energy Risk Managers

      • Nigel Da Costa Lewis
      Pages 53-62

  4. Applied Modeling: Techniques and Applications

    1. Front Matter

      Pages 63-64
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    2. Modeling and Fitting Price Distributions

      • Nigel Da Costa Lewis
      Pages 65-106

    3. Nonparametric Density Estimation for Energy Price Returns

      • Nigel Da Costa Lewis
      Pages 107-124

    4. Correlation Analysis

      • Nigel Da Costa Lewis
      Pages 125-150

    5. A Primer in Applied Regression Analysis

      • Nigel Da Costa Lewis
      Pages 151-168

    6. Multiple Regression and Prediction

      • Nigel Da Costa Lewis
      Pages 169-178

    7. Misspecification Testing

      • Nigel Da Costa Lewis
      Pages 179-186

    8. Non-linear and Limited Dependent Regression

      • Nigel Da Costa Lewis
      Pages 187-195

    9. Modeling Energy Price Volatility

      • Nigel Da Costa Lewis
      Pages 196-212

    10. Stochastic Differential Equations for Derivative Pricing and Energy Risk Management

      • Nigel Da Costa Lewis
      Pages 213-226

  5. Back Matter

    Pages 227-247
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Keywords

About this book

Energy Risk Modeling is a primer on statistical methods for managers, students and anybody interested in the field. Illustrated through elementary and more advanced statistical Methods, it is primarily aimed at those individuals who need a gentle introduction in how to go about using statistical methods for modeling energy price risk. Statistical ideas are presented by outlining the necessary concepts and illustrating how these ideas can be implemented. This is the first energy risk book on the market to focus specifically on the role of statistical methods. Its practical approach makes the book a very useful reference and an interesting read.

About the author

NIGEL DA COSTA LEWIS is a Professional Writer who has many years work experience in quantitative, econometric and statistical methods. He has worked in the City of London, on Wall Street and in academia. Dr Lewis is the author of a number of books for risk managers, including Operational Risk with Excel and VBA (Wiley) and the classic text Market Risk Modelling (Risk Books). He also holds an award winning PhD from the University of Cambridge and four Master's degrees in Statistics, Economics, Finance, and Advanced Computer Science, all from the University of London, UK.

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