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

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Alexander Eydeland Krzysztof Wolyniec

Energy and Power Risk Management

New Developments in Modeling, Pricing, and Hedging

Alexander Eydeland, Krzysztof Wolyniec

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English

John Wiley & Sons Inc
16 December 2002

Commodities

Series: Wiley Finance

"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"

By: Alexander Eydeland, Krzysztof Wolyniec
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 233mm, Width: 164mm, Spine: 36mm
Weight: 925g
ISBN: 9780471104001
ISBN 10: 0471104000
Series: Wiley Finance
Pages: 512
Publication Date: 16 December 2002
Audience: College/higher education , Professional and scholarly , Professional & Vocational , A / AS level , Further / Higher Education
Replaced By: 9780471784210
Format: Hardback
Publisher's Status: Active

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.

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.