Burger / Graeber / Schindlmayr Managing Energy Risk

An Integrated View on Power and Other Energy Markets
1. Auflage 2008
ISBN: 978-0-470-72546-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 316 Seiten, E-Book

Reihe: Wiley Finance Series

Mathematical techniques for trading and risk management.
Managing Energy Risk closes the gap between moderntechniques from financial mathematics and the practicalimplementation for trading and risk management. It takes amulti-commodity approach that covers the mutual influences of themarkets for fuels, emission certificates, and power. It includesmany practical examples and covers methods from financialmathematics as well as economics and energy-related models.

Autoren/Hrsg.

Burger, Markus

Graeber, Bernhard

Schindlmayr, Gero

Über Autor(innen)

Markus Burger is Head of Risk Control at EnBW Trading GmbH,the trading unit of the third largest energy supply company inGermany. He leads the market risk measurement ream withresponsibility for valuation and stochastic modelling as well ascredit risk management. Previously, he was a analyst for interestrate derivatives at Landesbank Baden-Wurttemberg (LBBW). He holds aMasters degree and a PhD in mathematics from the University ofKarlsruhe, Germany. His practical involvement and research includesstochastic modeling, risk measurement and valuation in the energysector.
Bernhard Graeber is Head of Methodology and Models atEnBW Trading GmbH. His department is responsible for thedevelopment of load forecasting algorithms, of power plant dispatchmodels and of fundamental market models for electricity, CO2certificates and fuels. He studies mechanical engineering andphysics at the University of Stuttgart, Germany and at theUniversity of Auckland, New Zealand and holds a PhD in energyeconomics from the University of Stuttgart. he has more that 10years of experience in electricity market analysis andmodeling.
Gero Schindlmayr is Head of Market Risk and ValuationModels at EnBW Trading GmbH. before joining EnBW he worked as aquantitative analyst for equity derivatives at Deutsche Bank A.G.He holds a PhD in mathematics and a Master's degree in operationsresearch from the RWTH Aachen, Germany and an M.Sc degree inmathematics from Warwick University, UK. He is co-author of a booktitled Equity Derivatives: Theory and Applications and of severalpapers in the area of energy derivatives and energy risk. His mainfield of work includes stochastic pricing models for electricityand gas, commodity forward curve modeling, value-at-risk models andmulti-commodity risk.