Managing Energy Price Risk (4th edition)

Managing Energy Price Risk (4th edition)

Systematic Trading in Energy Markets

Systematic Trading in Energy Markets

Energy Modelling (2nd edition)


An industry acclaimed bestseller - Energy Modelling has been extensively revised, updated and extended for the markets of 2005. This second edition is your detailed guide to how the tools of quantitative finance are being applied to the fast moving world of energy trading.

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Energy Modelling (2nd edition)
  • 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.
More Information
ISBN 9781904339427
Publication date 1 Jun 2005
Size 155mm x 235mm
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Vincent Kaminski

Mr Vincent Kaminski has spent fourteen years working in different positions related to quantitative analysis and risk management in the merchant energy industry. The companies he has worked for include Citigroup, Sempra Energy Trading, Reliant Energy, Citadel Investment Group, and Enron (from 1992 to 2002) where he was the head of the quantitative modeling group. Prior to beginning a career in the energy industry, Mr Kaminski was a vice president in the research department, bond portfolio analysis group, of Salomon Brothers in New York (from 1986 to 1992). In September 2006 Mr Kaminski accepted an academic position with Rice University in Houston (Jesse H. Jones Graduate School of Business) where he is teaching MBA level classes on energy markets, energy risk management and valuation of energy derivatives. Mr Kaminski holds an M.S. degree in international economics, a Ph.D. degree in theoretical economics from the Main School of Planning and Statistics in Warsaw, Poland, 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). Mr Kaminski has published a number of papers, and contributed to several books, on the energy markets.


Vincent Kaminski


Section 1: Modelling Energy Markets and Pricing Derivatives

Section Introduction

Vincent Kaminski


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


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


14 Generator Bid Strategies in Deregulated Markets: an Empirical Approach

Paul Flemming

Energy Security Analysis, Inc