- Hardcover: 400 pages
- Publisher: McGraw-Hill Professional; 2 edition (1 Sep 2007)
- Language English
- ISBN-10: 0071485945
- ISBN-13: 978-0071485944
- Product Dimensions: 23.8 x 19.4 x 3.4 cm
- Average Customer Review: 3.3 out of 5 stars See all reviews (6 customer reviews)
- Amazon Bestsellers Rank: 915,396 in Books (See Top 100 in Books)
- See Complete Table of Contents
Energy Risk : Valuing and Managing Energy Derivatives
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Product Description
Product Description
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
Book Description
Gain the benefit of Dragana Pilipovic's complete energy risk management system, from devising hedging and trading strategies to the implementation on the trading desk. Pilipovic covers valuation and portfolio analysis, along with tips for managers who must deal with energy risk. Designed for institutions that trade and hedge energy, as well as end-users, Energy Risk will be especially useful for key markets such as electricity or natural gas.
--This text refers to an out of print or unavailable edition of this title.
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Customer Reviews
Most Helpful Customer Reviews
2 of 2 people found the following review helpful
Format:Hardcover
Any trader or "quant" that has experience in pricing electricity options will appreciate the knowledge contained in Dragana Pilipovic's Energy Risk. The hybrid or "split-personality" nature of energy prices is emphasized throughout the book and is summarized in her two-factor price mean-reverting model. The book's entire exposition from option pricing to risk management is solidly grounded to the first few chapters that introduce Pilipovic's modelling framework.
Although the technical implementation issues are barely described, the information in the first 5 chapter should allow any reasonably numerate analyst to kiss goodbye the ambiguity of double Black-Scholes option valuation in favor of a modelling framework that can be statistically parameterized. It is well known that multi-factor pricing models capture higher order moments in the distribution of commodity prices and a Pilipovic's two-factor model captures the significant high and low frequency information in time-series data. The model lends itself well to parameterization through econometric/statistical means even if some nonlinear estimation techniques are required. The importance of analyzing seasonality in energy markets using statistical techniques is also stressed. In these first chapters (and the Appendix of interest rate models) it is evident that Pilipovic's practical ideology combines the most important elements of equity and interest rate models to tackle energy pricing problems. Although, the fundamental mathematical details are often glossed over (you may need occasional access to Springer-Verlag or other more technical publications), the insights offered in the book will convince any quant of the appropriateness of multi-factor models for the energies.
Chapter 6 provides a very good discussion of volatility term structure and its relationship to mean reversion in prices. The nature of term structure of volatility is extended to two-dimensions ("the volatility matrix") in light of Pilipovic's two-factor framework. There is no doubt that the phrase "volatility surface" is being heard just as much a "volatility curve" in today's trading environment. More mathematically inclined readers will recognize the concepts of serial auto-correlation and conditional volatility inherent in energy price processes although the exposition in the book is really practical.
Chapters 7 and 8 at least provide a decent overview of option pricing; but to make the information dangerous, the reader will likely have to pull his or her copies of Wilmott and Hull off the shelf. The discussion of tree methodologies gives the reader just enough information to wet his appetitite and start re-coding those simple binomial models. The jump to trinomial techniques is not well described but because its there the analyst knows its importance (just see Hull).
Introductory information on option greeks, risk mangement, and portfolio analysis is contained in Chapters 9 to 11. Non-detailed but interesting material includes hedging with different duration contracts, return/risk and minimum variance portfolio objectives. The book has numerous typos but corrections are easily obtained either through the publisher or the author herself. The folks at Sava (Pilipovic's Risk Management shop) are even friendly enough to discuss certain aspects of the technical material contained in the book
2 of 2 people found the following review helpful
Format:Hardcover
This book gives you very little usefull information. The author only gives you a preview of the mathematics and no proofs. If you want to accualy use anything in her book you will have to pay for her consulting.
Format:Hardcover
Pilipovic's book provides a great model for trading energy derivatives. I used it as a starting point to come up with my own models that I have started to use in hedging my risk. I recommend it for both speculators and hedgers.
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Most Recent Customer Reviews
I didn't like it at all
I have read other's review on this book, and then purchased the book. Though it contains some useful stories, the book lacks of anything really useful. Read more
Published on 26 Aug 1999
A easy book for beginners,
This is a great book for those who are new to energy markets. There are two things make it a valuable book -- the introduction to the energy trading industry and the... Read more
Published on 9 Dec 1998
An accurate analytical framework of energy risk management!
When I asked energy risk managers all over the U.S who are considered the major experts in energy risk management, they all mentioned Dragana Pilipovic! Read more
Published on 13 Oct 1997
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