SUMMARY

• Provides a complete review of the current state of the energy markets, with insights into how leading practitioners, academics and regulators are now tackling the issues and developments

• All the main energy areas including natural gas, oil, coal and electricity as well as related markets such as emissions are covered within five easily accessible sub sections, each introduced by Vincent Kaminski to help correlate the entire book:

• Energy Instruments

• Developments in Energy Markets

• Risk Measurement and Reporting

• Tools for Risk Analysis

• Real Options

• Relates quantitative issues to both the needs of today's corporations and to the reality of current market practice

• Explains technical terms and concepts using worked examples and real life market insights

• Largely re-written to incorporate developments over the last four years, this third edition now includes additional new chapters that cover the management of retail energy markets, gas storage, the emissions market, international coal markets and the issue of financial style hedging and risk management of assets that are subject to physical risk amongst others

• Brings together contributions and insight from some of the world's most respected practitioners, academics and regulators to reflect the current state of price risk management in the energy industry

• A near complete compendium of knowledge designed to enable risk managers and senior executives make more informed decisions as well as identifying some key unanswered questions to help direct future research on the subject matter

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  TABLE OF CONTENTS

CONTENTS

Introduction
Vincent Kaminski, Rice University

ENERGY INSTRUMENTS
Section Introduction - Vincent Kaminski

1. Energy Swaps
Jack Kellett, Standard Bank London Ltd

2. Energy Options
Michael Hampton, HDS Shipping

3. Energy Exotic Options
Vincent Kaminski, Rice University and Stinson Gibner and Krishnarao Pinnamaneni, Constellation Power Source

4. Commodity Risk Management in Energy Project Finance
Lloyd Spencer, PricewaterhouseCoopers

DEVELOPMENTS IN ENERGY MARKETS
Section Introduction - Vincent Kaminski

5. Risk and Regulatory Developments in US Energy Markets
William Hederman and Lee Ken-Choo, Federal Energy Regulatory Commission

6. The Oil Market
Etienne Amic and Phillipe Lautard, Elf Trading

7. The Natural Gas Market
Vincent Kaminski, Rice University and Ross Prevatt, Centrica

8. The Development of European Electricity Markets
Richard Lewis and Paul Dawson, Barclays Capital

9. Retail Energy Transactions in the US - Valuation, Risk and Supply
Mia T. Vu, Reliant

10. Dealing with Emissions
Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services

RISK MEASUREMENT AND REPORTING
Section Introduction - Vincent Kaminski

11. VAR, Stress Testing and Supplementary Methodologies: Uses and Constraints in Power and Energy Portfolio Risk Management
Brian Senior, RWE Trading

12. Credit Risk in Power and Gas Markets
Ellen Lapson, Denise Furey and Richard Hunter, Fitch Ratings

13. Accounting vs. Economics: Not Always a Perfect Match
Lesley Knowlton, Deloitte and Touche

TOOLS FOR RISK ANALYSIS
Section Introduction - Vincent Kaminski

14. Power Forward Curves
Alexander Eydeland and Krzysztof Wolniac, Mirant Corp

15. Arbitrage-Free Valuation of Energy Derivatives
Kaushik Amin, Lehman Brothers, Victor Ng, Goldman Sachs and Craig Pirrong, Bauer College of Business at the University of Houston

16. Volatility in Energy Prices
Darell Duffie, Stanford University, Stephen Gray, University of Queensland and Philip Hoang, Australian National University

17. Correlation in Crude Oil and Natural Gas Markets
Carol Alexander, ISMA Centre, University of Reading Business School

REAL OPTIONS
Section Introduction - Vincent Kaminski

18. Real Options
Ehud I. Ronn, University of Taxas at Austin

19. Gas Storage Management
Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services

20. Valuation and Risk Management of Physical Assets
Steve Leppard, Gaselys

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  QUOTES

″Previous editions of Managing Energy Price Risk have deservedly come to be regarded as key reference works in the field... This new edition confirms the book's status as a key reference work in the area of energy risk.″
Satyajit Das, The Finance and Treasury Professional

″I think this book reveals why we rely on Dr Kaminski. Clearly organised and comprehensive... Managing Energy Price Risk belongs on every risk managers' shelf.″
Arthur Warga, Bauer College of Business, University of Houston

″A welcome addition to round out any risk management library″
Mark Williams, Finance and Economics Department, Boston University

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  AUTHOR BIOGRAPHY

Vincent (Vince) Kaminski is currently working as a managing director at Citigroup, Houston. Before assuming this role, he served as a managing director and a consultant at Sempra Energy Trading and a senior vice president of commercial analytics at Reliant Resources, Inc. in Houston.
Before joining Reliant, Vince was a managing director of Citadel Investment Group LLC. Prior to this, Vince was the head of the quantitative modelling group at Enron Corp (from 1992 to 2002) and a vice-president in the research department, bond portfolio analysis group, of Salomon Brothers in New York (from 1986 to 1992).
Vince is an adjunct associate professor at Rice University in Houston (Jones Graduate School of Management) and he serves on the executive committee of the Global Energy Management Institute at Bauer College of Business, University of Houston. Vince holds an MS degree in international economics, a PhD degree in theoretical economics from the Main School of Planning and Statistics in Warsaw and an MBA from Fordham University in New York. He is a recipient of the 1999 James H. McGraw award for Energy Risk Management (Energy Risk Manager of the Year).
His recent publications include: Managing Energy Price Risk (all three editions) and "The Challenge of Pricing and Risk Managing Electricity Derivatives" in The US Power Market, both from Risk Books; and Energy Derivatives: Pricing and Risk Management, Lacima Publications.

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  CONTRIBUTORS

Jack Kellett, Standard Bank London Ltd; Michael Hampton, HDS Shipping; Vincent Kaminski, Rice University and Stinson Gibner and Krishnarao Pinnamaneni, Constellation Power Source; Lloyd Spencer, PricewaterhouseCoopers; William Hederman and Lee Ken-Choo, Federal Energy Regulatory Commission; Etienne Amic and Phillipe Lautard, Elf Trading; Vincent Kaminski, Rice University and Ross Prevatt, Centrica; Richard Lewis and Paul Dawson, Barclays Capital; Mia T. Vu, Reliant; Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services; Brian Senior, RWE Trading; Ellen Lapson, Denise Furey and Richard Hunter, Fitch Ratings; Lesley Knowlton, Deloitte and Touche; Alexander Eydeland and Krzysztof Wolniac, Mirant Corp; Kaushik Amin, Lehman Brothers, Victor Ng, Goldman Sachs and Craig Pirrong, Bauer College of Business at the University of Houston; Darell Duffie, Stanford University, Stephen Gray, University of Queensland and Philip Hoang, Australian National University; Carol Alexander, ISMA Centre, University of Reading Business School; Ehud I. Ronn, University of Taxas at Austin; Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services; Steve Leppard, Gaselys
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