Serving the Quantitative Finance Community
Energy Pricing
Hi All, Can you recommend a risk management book that goes into gruesome detail for pricing energy swaps (NG, WTI) and cap/floors? I seem to learn best from examples, so something that has spreadsheet examples would be ideal (or Matlab examples). Additionally (this may be a two book recommendation), something that would point me in the right direction to model risk factors (NG, WTI). Ultimately, my goal is to develop historical (full repricing)VaR and Counterparty credit for energy derivatives.Thanks!