Energy Modelling (2nd ed)

Advances in the Management of Uncertainty (Second Edition)

Publication Date	June 2005
Publisher	Risk Books
Product Type	Book
Pages	380
ISBN Number	1904339425
Product Code	RIS00333

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Summary

Edited by Vincent Kaminski, a leading authority on the modelling of energy risks and the development of new trading strategies, the book balances chapters on complex analytical techniques with more accessible explanations of the key topics.
Provides a full view of the latest analytical techniques and modelling strategies to help you effectively measure risk and cope with recent market developments.>
Reflecting the many significant recent changes in energy markets, this book features a number of newly commissioned chapters from the most current experts to cover: the impact of the weather on the trading; valuation and risk management of full requirements deals; pricing and hedging of heat rate options; credit risk modelling; capital adequacy models; bidding strategies in the US power pools; and managing congestion risk.
All chapters have been extensively overhauled and rewritten using new evidence, figures, case studies and panels.
Accessible enough for those who want a general understanding of the quantitative tools used in the energy business.
Essential reading for traders, risk managers and those seeking a general understanding of quantitative trading in the energy markets.

Content

Introduction
- Vincent Kaminski
- Citigroup
Section 1: Modelling Energy Markets and Pricing Derivatives
- Section Introduction
- Vincent Kaminski
- Citigroup
- 1 Selecting Stochastic Processes for Modelling Electricity Prices
  - Blake Johnson and Graydon Barz
  - Stanford University
- 2 Fundamentals of ElectricityDerivatives
  - Alexander Eydeland; Hlyette Geman
  - Morgan Stanley; University Paris IX Dauphine
- 3 Pricing, Modelling and Managing Physical Power Derivatives
  - Corwin Joy
  - Baylor College of Medicine
- 4 Valuing Power and WeatherDerivatives on a Mesh Using Finite Difference Methods
  - Craig Pirrong; Martin Jermakyan
  - Olin School of Business and Washington University; Vernadun, LLC
- 5 Modelling Energy Prices and Derivatives using Monte Carlo Methods
  - John Putney
  - National Power plc
- 6 Fundamental Analysis of Power Price Modelling
  - Roman Kosecki
  - MAK Energy Consultants
- 7 Management of Transmission in the Electricity Markets
  - Martin Lin
Section 2: Modelling and Market Realities
- Section Introduction
- Vincent Kaminski
- Citigroup
- 8 The Importance of Market Structure and Incentives in Determining Energy Price Risk
  - Giulio Federico; Adam Whitmore
  - CRA International (UK) Limited; Deloitte
- 9 Impacts of the Weather on EnergyDemand and Supplies
  - Daniel Guertin
  - Sempra Energy Trading
- 10 Full-Requirement Contracts
  - Yan Gao; Harald Ullrich; Krzysztof Wolyniec
  - Progress Energy; Constellation Energy Commodities Group; Sempra Commodities
- 11 Heat Rate Options
  - Boris Chibisov, Alexander Eydeland; Krzysztof Wolyniec
  - Morgan Stanley; Sempra Commodities
- 12 Credit Risk Management for the EnergyIndustry - Some Perspectives
  - Vincent Kaminski; Vasant Shanbhogue
  - Citigroup; AIG Financial Products Corp
- 13 Capital Adequacy for Companies Transacting in US Electric Power Markets
  - Laura L. Brooks
  - PSEG
- 14 Generator Bid Strategies in Deregulated Markets: an Empirical Approach
  - Paul Flemming
  - Energy Security Analysis, Inc