- Hardcover: 248 pages
- Publisher: McGraw-Hill Professional; illustrated edition edition (1 Jan 1998)
- Language English
- ISBN-10: 0786312319
- ISBN-13: 978-0786312313
- Product Dimensions: 23.6 x 19 x 2.3 cm
- Average Customer Review: 3.3 out of 5 stars See all reviews (6 customer reviews)
- Amazon Bestsellers Rank: 1,096,139 in Books (See Top 100 in Books)
- See Complete Table of Contents
Energy Risk : Valuing and Managing Energy Derivatives
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More About the Author
Product Description
Product Description
This book provides innovative, proven strategies for skillfully trading energy markets. The energy market uses tools and models that are unique and different from those required for traditional financial markets. With the increasing deregulation of the electricity market, energy is on the brink of becoming the hot opportunity for traders, power marketers, and managers worldwide. "Energy Risk: Valuing and Managing Energy Derivatives" provides not only an expert overview of energy trading but also the philosophies and strategies necessary for trading and managing risk in this exciting new arena of finance and investing. Dragana Pilipovic, a Harvard-trained physicist now consulting and designing software in the energy markets, has written the first book to discuss the intricacies and mechanics of energy markets.This groundbreaking book provides practical answers on how best to get a foothold in this emerging market. You'll also find: in-depth explanations of the primary factors that influence energy risk, such as spot price behavior, volatility, and the forward price curve; introduction and detailed discussion of the fundamental price drivers of energy markets including electricity, natural gas, and heating and crude oil; and, specific ways in which risk managers can use tools introduced throughout the book to achieve their companies' risk/return goals.The growth in volume for NYMEX and IPE energy contracts is the only proof you need of the enormous potential in trading and energy markets! Dragana Pilipovic's "Energy Risk", with unique trading models for managing risk in energy and commodity trading, contains over 175 charts and graphs that illustrate key features of the market including a wide variety of equations, correlations, and methodologies. Its primarily quantitative approach and well-supported conclusions make it the ideal single-source, desktop manual for getting reasonable answers to actual modeling and implementation problems surfacing in today's complex and exciting energy markets.
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.
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First Sentence
The purpose of this book is to describe the valuation and management of energy derivatives. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
The purpose of this book is to describe the valuation and management of energy derivatives. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
2 of 2 people found the following review helpful:
4.0 out of 5 stars
Powerful Stuff,
By A Customer
This review is from: Energy Risk: Valuing and Managing Energy Derivatives (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:
1.0 out of 5 stars
This book is one big advertisement.,
By A Customer
This review is from: Energy Risk: Valuing and Managing Energy Derivatives (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.
5.0 out of 5 stars
It gives me what I need to do my job.,
By A Customer
This review is from: Energy Risk: Valuing and Managing Energy Derivatives (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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