Eydeland / Wolyniec Energy and Power Risk Management

New Developments in Modeling, Pricing, and Hedging
1. Auflage 2003
ISBN: 978-0-471-45587-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 512 Seiten, E-Book

Reihe: Wiley Finance Editions

Praise for Energy and Power Risk Management
"Energy and Power Risk Management identifies and addresses the keyissues in the development of the turbulent energy industry and thechallenges it poses to market players. An insightful andfar-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 energyprice risk in the natural gas and power markets. An absoluteimperative for energy traders and energy risk managementprofessionals."
-Vincent Kaminski, Managing Director
Citadel Investment Group LLC
"Eydeland and Wolyniec's work does an excellent job of outliningthe methods needed to measure and manage risk in the volatileenergy market."
-Gerald G. Fleming, Vice President, Head of East Power Trading, TXUEnergy Trading
"This book combines academic rigor with real-world practicality. Itis a must-read for anyone in energy risk management or assetvaluation."
-Ron Erd, Senior Vice President
American Electric Power

Autoren/Hrsg.

Eydeland, Alexander

Wolyniec, Krzysztof

Inhaltsverzeichnis

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-commodityDerivatives.
Chapter 10. Risk Management.
Appendix A: Multidimensional Monte Carlo Simulation with a GivenVolatility and Correlation Structure: The Case of GBM.
Appendix B: Optimization of Operations of Physical Assets.
Bibliography.
Index.

Über Autor(innen)

ALEXANDER EYDELAND, PhD, is the Vice President and Head of Researchfor Mirant Corp. He leads research efforts in developing models andstrategies to support marketing, trading, and risk management, andin designing systems for evaluation, optimization, and managementof energy assets.
KRZYSZTOF WOLYNIEC is the Director of Asset Modeling at MirantCorp. He is responsible for modeling power and fuel markets as wellas developing hedging and trading strategies around physical powerand fuel assets.