Energy and Power Risk Management
New Developments in Modeling, Pricing, and Hedging
Wiley Finance Editions
1. Auflage Februar 2003
512 Seiten, Hardcover
Wiley & Sons Ltd
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
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.
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.
