The proposed book aims to close the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It therefore takes a multi-commodity approach covering the mutual influences of the markets for fuels, emission certificates and power. The book uses many practical examples as illustrations & covers methods from financial mathematics as well as economical and engineering-related models to describe the markets for electricity, coal, natural gas, oil and emission certificates.
Book Details:
- Author: Markus Burger
- ISBN: 9780470029626
- Year Published: 2007
- Pages: 316
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
The proposed book aims to close the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It therefore takes a multi-commodity approach covering the mutual influences of the markets for fuels, emission certificates and power. The book uses many practical examples as illustrations & covers methods from financial mathematics as well as economical and engineering-related models to describe the markets for electricity, coal, natural gas, oil and emission certificates.
Most electricity markets are now fully liberalized (or are due to become so in the next few years. The wholesale market for electricity, in particular the European Energy Exchange EEX, has become a benchmark for the retail market and energy-intensive industry uses more and more structured products derived from the wholesale market for their energy procurement or build up their own trading and risk-management departments. On the other side, the growing market liquidity and transparency attracts banks to become active market participants for energy and electricity products. Since the energy markets differ from the classical financial markets and other commodity markets, there is a strong interest in understanding the fundamental market mechanisms and in developing pricing models for structured products as a basis for an efficient risk management.
Authors have a strong theoretical and practical background, they have been working in the finance and energy markets for many years. Interest in the topic will increase with the deregulation of the power and gas markets and the consequences of global warming.
About the Author
Markus Burger is Head of Risk Control at EnBW Trading GmbH, the trading unit of the third largest energy supply company in Germany. He leads the market risk measurement with responsibility for valuation and stochastic modelling as well as credit risk management. Previously, he was a analyst for interest rates derivatives at Landesbank Baden-Württemberg (LBBW). He holds a master degree and a PhD in mathematics from the University of Karlsruhe, Germany. His practical involvement and research includes stochastic modeling, risk measurement and valuation in the energy sector. Bernhard Graeber is head of Methodology and Models at EnBW Trading GmbH. His department is responsible for the development of load forecasting algorithms, of power plant dispatch models, and of fundamental market models for electricity, CO2 certificates, and fuels. He has studied mechanical engineering and physics at the University of Stuttgart, Germany and at the University of Auckland, New Zealand. He holds a PhD degree in energy economics from the Universität Stuttgart. He has more than 10 years of experience in electricity market analysis and modelling. Gero Schindlmayr is Head of Market Risk and Valuation Models at EnBW Trading GmbH. Before joining EnBW he worked as a quantitative analyst for equity derivatives at Deutsche Bank. He holds a PhD in mathematics and a Master’s degree in operations research from the RWTH Aachen, Germany and an M.Sc degree in mathematics from Warwick University, UK. He is co-author of a book titled “Equity Derivatives: Theory and Applications” and of several papers in the area of energy derivatives and energy risk. His main field of work includes stochastic pricing models for electricity and gas, commodity forward curve modelling, value-at-risk models and multi-commodity risk.