Fuel Hedging and Risk Management
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Gajjala Vishnu N.. Fuel Hedging and Risk Management
Preface
Acknowledgments
About the Authors
CHAPTER 1. Energy Commodities and Price Formation
ENERGY AS A STRATEGIC RESOURCE
ENERGY AS A TRADABLE COMMODITY
ENERGY COMMODITIES
PRICE DRIVERS IN ENERGY MARKETS
SUMMARY
CHAPTER 2. Major Energy Consumers and the Rationale for Fuel Hedging
ENERGY MARKET PARTICIPANTS
RISKS FACED BY FUEL CONSUMERS – THE CASE OF THE AIRLINE INDUSTRY
RISKS FACED BY OTHER MAJOR FUEL CONSUMERS
THE CASE FOR HEDGING
COMMODITY DERIVATIVE MARKETS
SUMMARY
APPENDIX A
CHAPTER 3. Developing Fuel Hedging Strategies
THE RATIONALE FOR COMMODITY HEDGING
DEVELOPING A FUEL HEDGING PROGRAM
RISK IDENTIFICATION AND ASSESSMENT
ARTICULATING THE FIRM'S RISK APPETITE
SETTING OBJECTIVES FOR FUEL HEDGING AND THE SCOPE OF HEDGING
IMPLEMENTATION OF HEDGING
MANAGEMENT OF THE UNWANTED RISKS OF A PORTFOLIO
MONITORING AND CALIBRATION OF THE HEDGING PROGRAM
TEMPLATE FOR A RISK MANAGEMENT POLICY
THE AIRLINE INDUSTRY – TRENDS IN FUEL RISK MANAGEMENT
SUMMARY
CHAPTER 4. Shipping and Airlines – Basics of Fuel Hedging
SPOT–FORWARD RELATIONSHIPS
OPTIONS
IMPLIED VOLATILITY AND THE BLACK–SCHOLES MODEL
THE GREEKS
ASIAN SWAPS AND OPTIONS
OPTION STRUCTURES
DERIVATIVES PRICING
SUMMARY
CHAPTER 5. Advanced Hedging and Forward Curve Dynamics
SWAP AND VANILLA OPTION-BASED STRUCTURES
THE VOLATILITY SURFACE
MULTI-OPTION STRUCTURES
EARLY-EXPIRY OPTIONS AND INSTANTANEOUS VOLATILITY TERM STRUCTURES
COMMODITY SWAPTIONS AND EXTENDIBLE SWAPS
UNDERSTANDING COMMODITY FUTURES TERM STRUCTURES
TERM-STRUCTURE MODELS
SUMMARY
CHAPTER 6. Exotic Hedging and Volatility Dynamics
EXTENDIBLE OPTION STRUCTURES
VOLATILITY MODELS
BARRIER OPTION-BASED STRUCTURES
THE REFLECTION PRINCIPLE
LOCAL VOLATILITY MODELS
BERMUDAN EXTENDIBLE STRUCTURES
TARGET REDEMPTION STRUCTURES
STICKY STRIKE AND STICKY DELTA
SUMMARY
CHAPTER 7. Fuel Hedging and Counterparty Risk
THE IMPORTANCE OF VALUATION AND TRANSACTION MONITORING
MARKET RISK MANAGEMENT
LIQUIDITY RISK
COUNTERPARTY RISK
MEASUREMENT OF COUNTERPARTY RISK FOR A PORTFOLIO of TRADES
CREDIT EXPOSURE OPTIMIZATION TECHNIQUES
FUNDING VALUATION ADJUSTMENT
THE PRICE OF COUNTERPARTY CREDIT RISK
DEBT VALUATION ADJUSTMENT
WRONG-WAY RISK
COUNTERPARTY CREDIT RISK HEDGING
SUMMARY
CHAPTER 8. Conducting Scenario Analysis
SCENARIO ANALYSIS FOR VANILLA PRODUCTS
SCENARIO ANALYSIS FOR PATH-DEPENDENT PRODUCTS
MTM-BASED SCENARIO ANALYSIS AND POTENTIAL FUTURE EXPOSURES
BEYOND PAYOFFS AND MTMs – COLLATERALIZATION AND FUNDING REQUIREMENT ANALYSIS
HEDGE EFFECTIVENESS
SUMMARY
CHAPTER 9. Financing and Risk Management: Bundled Solutions
STRUCTURED AVIATION FINANCE OVERVIEW
AIRLINE FINANCING VIA DEBT AND AIRCRAFT LEASES
RATIONALE FOR COMBINING HEDGING AND FINANCING
OIL-LINKED FINANCING STRUCTURES
SUMMARY
CHAPTER 10. Applied Fuel Hedging – Case Studies
CASE STUDY 1: YM CARGO INC
CASE STUDY 2: WORLDWIDE AIRLINES
SUMMARY
Bibliography
Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 8
Chapter 9
Index
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Fuel Hedging and Risk Management
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