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9780471104001

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

by ;
  • ISBN13:

    9780471104001

  • ISBN10:

    0471104000

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2002-12-30
  • Publisher: Wiley

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Summary

Tools and methods for the analysis and management of energy risksEnergy and Power Risk Management addresses the complex issues and challenges arising in the expanding market for energy derivatives, providing readers with insight into the modeling, hedging, and risk management techniques utilized in the energy markets. This book offers a detailed analysis of a wide range of models, from fundamental to stochastic and everything in between. It also explores the problems of managing risks associated with energy derivatives, with special emphasis given to real options such as generation and storage assets. Real-world examples and current data illuminate important theoretical points.

Author Biography

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.

Table of Contents

Introduction.
Chapter 1. Markets.
Chapter 2. Products.
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.
Chapter 9. Power Plants and Other Cross-Commodity Derivatives.
Chapter 1o. Risk Management.
Bibliography.

Supplemental Materials

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