Burger / Graeber / Schindlmayr Managing Energy Risk

An Integrated View on Power and Other Energy Markets
1. Auflage 2014
ISBN: 978-1-118-61858-5
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 1, 448 Seiten, E-Book

Reihe: Wiley Finance Series

An overview of today's energy markets from a multi-commodityperspective
As global warming takes center stage in the public and privatesectors, new debates on the future of energy markets andelectricity generation have emerged around the world. The SecondEdition of Managing Energy Risk has been updated to reflectthe latest products, approaches, and energy market evolution. Afull 30% of the content accounts for changes that have occurredsince the publication of the first edition. Practitioners willappreciate this contemporary approach to energy and thecomprehensive information on recent market influences.
A new chapter is devoted to the growing importance of renewableenergy sources, related subsidy schemes and their impact on energymarkets. Carbon emissions certificates, post-Fukushima marketshifts, and improvements in renewable energy generation are allincluded.
Further, due to the unprecedented growth in shale gas productionin recent years, a significant amount of material on gas marketshas been added in this edition. Managing Energy Risk is nowa complete guide to both gas and electricity markets, andgas-specific models like gas storage and swing contracts are giventheir due.
The unique, practical approach to energy trading includes acomprehensive explanation of the interactions and relations betweenall energy commodities.
* Thoroughly revised to reflect recent changes in renewableenergy, impacts of the financial crisis, and market fluctuations inthe wake of Fukushima
* Emphasizes both electricity and gas, with all-new gas valuationmodels and a thorough description of the gas market
* Written by a team of authors with theoretical and practicalexpertise, blending mathematical finance and technicaloptimization
* Covers developments in the European Union Emissions TradingScheme, as well as coal, oil, natural gas, and renewables
The latest developments in gas and power markets havedemonstrated the growing importance of energy risk management forutility companies and energy intensive industry. By combiningenergy economics models and financial engineering, ManagingEnergy Risk delivers a balanced perspective that captures thenuances in the exciting world of energy.

Autoren/Hrsg.

Burger, Markus

Graeber, Bernhard

Schindlmayr, Gero

Inhaltsverzeichnis

1 Energy Markets 7
1.1 Energy Trading 9
1.2 The Oil Market 14
1.3 The Natural Gas Market 20
1.4 The Coal Market 29
1.5 The Electricity Market 35
1.6 The Emissions Market 53
2 Renewable Energy 69
2.1 The Role of Renewable Energy in Electricity Generation 70
2.2 The Role of Liquid Biofuels in the Transportation Sector 75
2.3 Renewable Energy Technologies 77
2.4 Support Schemes for Renewable Energy 96
2.5 Key Economic Factors of Renewable Energy Projects 108
2.6 Risks in Renewable Energy Projects and their Mitigation 110
3 Risk Management 125
3.1 Governance Principles and Market Regulation 126
3.2 Market Risk 128
3.3 Legal Risk 156
3.4 Credit Risk 160
3.5 Liquidity Risk 172
3.6 Operational Risk 175
4 Retail Markets 179
4.1 Interaction of Wholesale and Retail Markets 179
4.2 Retail Products 183
4.3 Sourcing 189
4.4 Load Forecasting 192
4.5 Weather Risk in Gas Retail Markets 194
4.6 Risk Premiums 201
5 Energy Derivatives 215
5.1 Forwards, Futures and Swaps 216
5.2 Commodity Forward Curves 223
5.3 "Plain Vanilla" Options 228
5.4 American, Bermudan and Asian Options 243
5.5 Multi-Underlying Options 247
5.6 Modelling Spot Prices 255
5.7 Stochastic Forward Curve Models 277
6 Stochastic Models for Electricity and Gas 283
6.1 Daily and Hourly Forward Curve Models 283
6.2 Structural Electricity Price Models 295
6.3 Structural Gas Price Models 312
7 Fundamental Market Models 333
7.1 Fundamental Price Drivers in Electricity Markets 333
7.2 Economic Power Plant Dispatch 347
7.3 Methodological Approaches 372
7.4 Relevant System Information for Electricity Market Modelling 406
7.5 Application of Electricity Market Models 413
7.6 Gas Market Models 416
7.7 Market Models for Oil, Coal, and CO2 Markets 429
7.8 Asset Investment Decisions 430
Appendix 437
A Mathematical Background 439
A.1 Econometric Methods 439
A.2 Stochastic Processes 448
A.3 Option Pricing Theory 451

Über Autor(innen)

Dr MARKUS BURGER (Karlsruhe, Germany) is Director of RiskManagement at EnBW Trading (Energie Baden-Württemberg AG) acompany specialising in energy trading, optimization and riskmanagement. Markus has more than fifteen years' experience inCommodity Trading, Finance and Risk Management. He has a PhD inmathematics from Karlsruhe Institute of Technology (KIT).
Dr BERNHARD GRAEBER (Karlsruhe, Germany) is Head ofInfrastructure Investments at Talanx Asset Management. Prior tothat he was head of Renewable Energies and International ClimateProjects at EnBW AG and was responsible for the coordination of allrenewable energy activities within the EnBW group. Bernhard has aPhD in Energy Economics from Stuttgart University.
Dr GERO SCHINDLMAYR (Essen, Germany) is Head of RiskControl for asset-related trading at RWE Supply & Trading GmbH.Over the last fifteen years, Gero held various positions in thefinance and energy industry in the area of quantitative modellingand risk management and is author of several research publications.He holds a PhD in mathematics from RWTH Aachen, University ofTechnology.