Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging

ISBN-13: 9780471104001 / Angielski / Twarda / 2002 / 504 str.

Alexander Eydeland; Krzysztof Wolyniec; Krzysztof Wolyniec

Opis

Praise for Energy and Power Risk Management

"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 Geman, 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

Recenzje

"If you were considering buying one book on this topic this would be a strong candidate." (The Journal of Energy Literature, June 2003)

Spis treści

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.

O autorze

ALEXANDER EYDELAND, PhD, is the Vice President and Head of Research for Mirant Corp. He leads research efforts in developing models and strategies to support marketing, trading, and risk management, and in designing systems for evaluation, optimization, and management of energy assets.
KRZYSZTOF WOLYNIEC is the Director of Asset Modeling at Mirant Corp. He is responsible for modeling power and fuel markets as well as developing hedging and trading strategies around physical power and fuel assets.

Blurb

Praise for Energy and Power Risk Management

"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