Energy Modelling

Book description

• 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.

Book details

ISBN

9781904339427

Publish date

1 Jun 2005

Format

Size

155mm x 235mm

Editor biography

Vincent Kaminski

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.

Table of contents

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; Hélyette 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

Testimonials

“Expert insight into where risk management research stands in the energy sector... the book is extremely valuable, up-to-date and comprehensive.“

FT Power