Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging BY Alexander Eydeland, Krzysztof Wolyniec

Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging BY Alexander Eydeland, Krzysztof Wolyniec
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Wiley Adobe E-Book February 2003



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



AUTHOR INFORMATION:

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. 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.







Energy and Power Risk Management:

New Developments in Modeling, Pricing, and Hedging

BY Alexander Eydeland, Krzysztof Wolyniec