Managing Energy Risk: An Integrated View on Power and Other Energy Markets

Index

AAU, see Assigned Amount Unit

Acid Rain Program 46

additionality 42–3

ADF test, see augmented Dickey–Fuller (ADF) test

All Publications Index (API) 21

American option 66, 77, 289

Amsterdam–Rotterdam–Antwerp (ARA) 4, 9, 20–2

Anglo American 20

ANN, see artificial neuronal network annuity 183

antithetic paths 289–90

API, see All Publications Index AR (p) model 277

ARA, see Amsterdam–Rotterdam–Antwerp arbitrage 47, 49, 57, 77, 89–90, 94, 108, 117

ARMA (p,q) model 119, 121, 277

artificial neuronal network 229

Asian option 66

log-normal approximation 68–72

Vorst method 67

asset book 259

asset pricing 94

fundamental theorem 94

Assigned Amount Unit (AAU) 43

augmented Dickey–Fuller (ADF) test 278

Australia 14, 17–21, 24, 26, 38–9

autocorrelation function 127–8, 278

autoregressive model 277

autoregressive moving average model 277

B2B, see Business-to-Business

B2C, see Business-to-Consumer

backtesting 201, 263–4

backward iteration 85–6

backwardation 91, 97, 102

BAFA index 23

balancing

market 29–33

period 27–8, 30, 205

power 33, 132, 217, 222–4, 231–5, 242

banking

CERs 43, 45

EUAs 40

Barings Bank 265

Basel Committee 252

baseload contract 25, 30–1, 35–6, 114–16, 126–7, 138, 217–18, 222, 226, 247, 249

prices 25

basis risk 51

basket option 70–2

Bellman 156–7, 159

Bertrand model 193

BHP Billiton 19

bid curve 176, 294

Big Four 19

binary variable 155–6, 164

binomial tree 66

Black model 55, 62–3, 109

block contract 30–1

borrowing

EUAs 40

Brent

21-day forward 7–8

BFO index 7

Contract for Differences ...