Energy Risk: Valuing and Managing Energy Derivatives

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McGraw Hill Professional, Aug 13, 2007 - Business & Economics - 400 pages
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The Latest Methods and Strategies for Successfully Trading and Managing Risk in Today's Volatile Energy Markets

The updated Second Edition of Energy Risk presents an authoritative overview of the contemporary energy trading arena, combining the lesson's from the last decade with proven methods and strategies required for valuing energy derivatives and managing risk in these ever volatile markets.

Written by renowned energy risk expert Dragana Pilipovic this revised classic examines market behavior, covering both quantitative analysis and trader-oriented insights. The book shows how to establish a modeling process that involves the key players_managers, traders, quantitative analysts, and engineers_and provides practical answers to energy trading and risk management questions.

The Second Edition of Energy Risk features:

  • Detailed coverage of the primary factors that influence energy risk
  • Techniques for building marked-to-market forward price curves, creating volatility matrices, and valuing complex options
  • Specific guidelines and tools for achieving risk goals
  • New to this edition: three new chapters on the emerging energy market and marked-to-market issues; new material on energy-specific models, seasonal effects, and the derivation of the mean-reverting price model; and more
 

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Contents

Trading Modeling and Hedging
1
Chapter 2 What Makes Energies So Different?
17
Chapter 3 Modeling Principles and Market Behavior
35
Chapter 4 Essential Statistical Tools
71
Chapter 5 Spot Price Behavior
95
Chapter 6 The Forward Price Curve
127
Implementing Forward Price Models
163
Chapter 8 Volatilities
215
Chapter 12 Measuring Risk
375
Chapter 13 Portfolio Analysis
401
Chapter 14 Risk Management Policies
427
Mathematical and Statistical Notes
455
Models from Interest Rate and Bond Markets
463
Analysis of Markets Published in the First Edition of Energy Risk
467
Glossary of Energy Risk Management Terms
485
Select Bibliography
499

Chapter 9 Overview of Option Pricing for Energies
255
Chapter 10 Option Valuation
275
Chapter 11 Valuing Energy Options
303
Index
503
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About the author (2007)

Dragana Pilipovic works at AAA Capital Management, a hedge fund in Houston. She was also the founder and president of SAVA Risk Management Corporation, which provided quantitative analysis, risk management, and software development to major companies in the energy industry and energy trading field. Ms. Pilipovic has received a United States patent for a volatility model, has published numerous articles in industry journals and speaks at professional conferences nationwide. She holds a bachelors in physics from Harvard University, a masters in experimental physics from Brown University, and an MBA from the University of Chicago.

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