Alexander Eydeland, Krzysztof Wolyniec

Energy and Power Risk Management

New Developments in Modeling, Pricing and Hedging

• Gebundenes Buch

Produktbeschreibung

The market for energy derivatives is expanding throughout the world with new derivative instruments introduced constantly. This text offers a detailed discussion of underlying fundamental energy issues, such as supply/demand relations, outages, operational and environmental constraints. It uses real-world examples and data to illuminate important theoretical points.

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Produktdetails

• Verlag: WILEY & SONS
• Seitenzahl: 512
• Erscheinungstermin: 30. Dezember 2002
• Englisch
• Abmessung: 235mm x 157mm x 32mm
• Gewicht: 887g
• ISBN-13: 9780471104001
• ISBN-10: 0471104000
• Artikelnr.: 11066500

Autorenporträt

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.

Inhaltsangabe

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