Energy and Power Risk Management: New Developments in Modeling, Pricing and Hedging (0471104000)

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Alexander Eydeland / Krzysztof Wolyniec, «Energy and Power Risk Management:

New Developments in Modeling, Pricing and Hedging»

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Review

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

Book Description

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

Book Info

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. Combines academic rigor with real-world practicality.

From the Inside Flap

If you’ve participated in the energy and power markets on any level, you’ve probably spent a considerable amount of time searching for the best ways to manage the risks associated with these unstable and sometimes erratic markets. In Energy and Power Risk Management, experts Alexander Eydeland and Krzysztof Wolyniec unveil the latest developments in modeling, pricing, and hedging within the energy and power markets, so you can begin to successfully assess and manage the risks of the complex derivative structures that are part of your portfolio.

If you’re involved with energy and power assets and derivatives, you need a firm understanding of techniques specific to energy and power markets–and this book delivers. Energy and Power Risk Management opens with a brief introduction to the energy market, describing everything from oil and gas to electricity and emissions. You’ll receive a detailed primer on the most frequently encountered products in these markets–including a variety of energy-related spreads, electricity futures, and natural gas options–and learn how to effectively implement them on a regular basis. You’ll also learn how to interpret the special properties of data used in energy models and how to gain a better understanding of the information that drives them.

After laying down a solid foundation, Energy and Power Risk Management moves on to explore the pricing and hedging models appropriate for these markets. Topics include:

* Reduced-form price models, including mean-reverting and jump-diffusion processes

* Forward price processes–with an introduction to models describing the forward curve evolution, such as HJM, BGM, and string models

* The use and misuse of correlations

* A hybrid model for power prices

This unique resource also provides you with a valuable overview of the valuation and hedging of power, natural gas and oil derivatives and assets (swing options, storage, transportation, transmission, demand-management deals), as well as cross-commodity products (power plants, weather-contingent structures). It also offers a systematic analysis of general issues of risk-adjustment, risk-measurement, and hedging.

Even with all the current information available, it is still difficult to find a detailed analysis of practical issues regarding modeling, pricing, and hedging of energy derivatives. With Energy and Power Risk Management as your guide, you can manage the inherent risks of these markets while optimizing your performance in them.

From the Back Cover

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

About the Author

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.

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