The Handbook of Energy Trading -- Contents -- List of Figures -- List of Tables -- Preface -- Acknowledgements -- 1 Energy Markets as Efficient Markets -- 1.1 The "Efficient Market Hypothesis" -- 1.1.1 Trading Implications -- 1.1.2 Informational and Mathematical Implications -- 1.2 Mathematical Framework -- 1.2.1 Information Set: σ-algebras -- 1.2.2 Conditional Expectation -- 1.3 Martingale Hypothesis -- 1.3.1 The Random Walk Hypothesis -- 1.3.2 Sequences and Reversal, Cowles Jones Test: Theoretical Framework -- 1.3.3 Variance Ratio Tests -- 1.4 Violations of EMH and Behavioural Finance -- 1.5 Information Asymmetries and Accelerating Processes -- 1.6 The Peculiar Structure and Nature of Energy Commodities Markets -- 1.7 EHM in Energy Commodities Markets: Some Evidence from Data -- 1.7.1 Efficient Market Hypothesis: Testing the Intraday Returns -- 1.8 Subordination, Trading Volume and Efficient Market Hypothesis -- 1.9 Subordination and Stochastic Timescales -- 2 Directional Trading -- 2.1 Definitions and Main Features -- 2.2 Market Products for Directional Trading -- 2.3 Price Trend Determination -- 2.3.1 Fundamental Trading Models -- 2.3.2 Statistical Trading Models -- 2.3.3 Technical Trading Models -- 2.3.4 Case Studies -- 2.4 Strategic Asset Allocation Methods -- 2.4.1 Traditional Asset Allocation Models -- 2.4.2 Single Period Asset Allocation Model -- 2.4.3 Inter-temporal Asset Allocation Problems -- 2.4.4 Solution Methods - Dynamic Programming -- 2.4.5 Asset Allocation with Capital Constraints -- 3 Spread Trading -- 3.1 Spread Definition and Identification -- 3.2 Non-Stationarity and Cointegration -- 3.3 Empirical Analysis of Energy Spread Trading Strategies -- 3.4 Empirical Analysis of Energy Spreads and Spread Trading Strategies -- 3.4.1 Cross Commodities Spread Trading (Spark Spread) -- 3.4.2 Time Spreads on Brent.

3.4.3 Location Spread: Italy vs. Germany -- 3.5 Combining Directional and Spread Trading Strategies -- 4 Options and Non-Linear Derivatives -- 4.1 The Essence of Non-Linearity -- 4.1.1 Factors that Influence Option Value -- 4.1.2 Option Traders -- 4.1.3 Energy Option Markets -- 4.2 Exotic Options -- 4.3 Combinations -- 4.4 Value Bounds and Parity Relationship -- 4.5 Basics on Option Pricing -- 4.6 The Greeks -- 4.6.1 Delta and Delta Hedging -- 4.6.2 Gamma -- 4.6.3 Theta -- 4.6.4 Vega -- 4.7 Adjusting the Continuous Time Dynamic Hedging Framework -- 4.7.1 Discrete and Extreme Market Moves -- 4.7.2 Gamma and Shadow Gamma -- 4.7.3 Vega and Volatility Surface Movements -- 4.7.4 Theta, and the Greek's Importance for Exotic Option Traders -- 4.7.5 Futures and Forwards to Hedge the Risk: Structured Products -- 4.8 Case Study -- 5 Structured Products on Energy -- 5.1 Structured Products on Energy: Main Typology -- 5.2 Retail Structured Products -- 5.2.1 Profiled Forward Contracts -- 5.2.2 Full Requirements Contracts -- 5.3 Wholesale Structured Products -- 5.3.1 General Pricing Issues on Structured Products -- 5.3.2 Virtual Power Plants: Structure and Pricing Techniques -- 5.3.3 Virtual Refinery: Structure and Pricing Techniques -- 5.3.4 Virtual Gas Storage: Structure and Pricing Techniques -- 5.3.5 The Structure of Swing Contracts and Make-up Clause -- 5.4 Hedge in Incomplete Markets -- 5.5 Case Study: Structured Products -- 5.5.1 Virtual Power Plants -- 5.5.2 Swing on Gas -- 5.5.3 Virtual Refinery -- 6 Metatrading Strategies and Capital Allocation Techniques -- 6.1 Metatrading Definition and Fundamental Elements -- 6.2 Macroeconomic Megatrends: Understanding and Analysis -- 6.2.1 Keynesian Business Cycle Theory -- 6.2.2 Real Business Cycle Theory -- 6.2.3 Austrian Business Cycle Theory -- 6.2.4 Risk-based Business Cycle Theory.

6.3 Trading Business Organizational Issues -- 6.3.1 Book Structuring -- 6.3.2 Internal Market -- 6.4 Capital Management Principles -- 6.4.1 Economic Capital Definition and Initial Allocation -- 6.4.2 Risk Measurement and Integration Approaches for Energy Portfolios -- 6.4.3 Performance Assessment -- 6.4.4 The Dynamics of Capital Allocation (Capital Reallocation Process) -- Bibliography -- Index.