Energy and Power Risk Management: New Developments in Modeling, Pricing and Hedging
Energy
and Power Risk Management identifies and addresses the key issues in
the development of the turbulent energy industry and the challenges it
poses to market players. An insightful and far-reaching book written by
two renowned professionals."
–Helyette Géman, Professor of Finance
University Paris Dauphine and ESSEC
"The
most up-to-date and comprehensive book on managing energy price risk in
the natural gas and power markets. An absolute imperative for energy
traders and energy risk management professionals."
–Vincent Kaminski, Managing Director
Citadel Investment Group LLC
"Eydeland and Wolyniec’s work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market."
–Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading
"This
book combines academic rigor with real-world practicality. It is a
must-read for anyone in energy risk management or asset valuation."
–Ron Erd, Senior Vice President
American Electric Power
Introduction.
Chapter 1. Markets.
Chapter 2. Basic Products and Structures.
Chapter 3. Data.
Chapter 4. Reduced-form Processes.
Chapter 5. Forward Price Processes.
Chapter 6. Correlation.
Chapter 7. Hybrid Process for Power Prices.
Chapter 8. Structured Products: Fuels and Other Commodities.
Chapter 9. Power Plants and Other Cross-commodity Derivatives.
Chapter 10. Risk Management.
Appendix A: Multidimensional Monte Carlo Simulation with a Given Volatility and Correlation Structure: The Case of GBM.
Appendix B: Optimization of Operations of Physical Assets.
Bibliography.
Index.
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