The market for energy derivatives is expanding throughout the world with new derivative instruments introduced every day. In addition, gas and power deregulation brought to the markets a new set of complex derivative products: energy assets and their inherent embedded optionality. Pricing and managing these assets require complex models and sophisticated data analysis.
Book Details:
- Author: Alexander Eydeland
- ISBN: 9780470298350
- Year Published: 2002
- Pages: 504
- BISAC: BUS070040, BUSINESS & ECONOMICS/Industries / Energy
About the Book and Topic:
The market for energy derivatives is expanding throughout the world with new derivative instruments introduced every day. In addition, gas and power deregulation brought to the markets a new set of complex derivative products: energy assets and their inherent embedded optionality. Pricing and managing these assets require complex models and sophisticated data analysis.
The current literature on pricing and managing energy derivatives and the real optionality of energy assets does not fully address the whole spectrum of problems and challenges faced by analysts or energy risk managers. This book fills the void. Typically, models for energy products and assets are mere modifications of models used for pricing financial derivatives; they utilize similar underlying processes and similar approaches to hedging and risk management. It is difficult to find a detailed analysis of practical issues of modeling energy derivatives and asset optionality, such as model calibration, parameterization, validation and hedging. This book provides a detailed discussion of underlying fundamental issues, such as supply/demand relations, outages, operational and environmental constraints, that can have a dramatic impact on the value and behavior of energy derivatives and assets. It uses real world examples and current data to illuminate all of its most important theoretical points.
* Covers risk management techniques specific to energy and power markets. * Introduces new tools and methods for analysis and management of energy risks not previously covered in other energy risk management books. * Analyzes strengths and weaknesses of specific energy risk modeling, pricing, and hedging techniques. * Offers case study examples of energy derivative valuation techniques that are effective and those which can be dangerous.
About the Author
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.