Gero Schindlmayr

An overview of today's energy markets from a multi-commodity perspective As global warming takes center stage in the public and private sectors, new debates on the future of energy markets and electricity generation have emerged around the world. The Second Edition of Managing Energy Risk has been updated to reflect the latest products, approaches, and energy market evolution. A full 30% of the content accounts for changes that have occurred since the publication of the first edition. Practitioners will appreciate this contemporary approach to energy and the comprehensive information on recent market influences. A new chapter is devoted to the growing importance of renewable energy sources, related subsidy schemes and their impact on energy markets. Carbon emissions certificates, post-Fukushima market shifts, and improvements in renewable energy generation are all included. Further, due to the unprecedented growth in shale gas production in recent years, a significant amount of material on gas markets has been added in this edition. Managing Energy Risk is now a complete guide to both gas and electricity markets, and gas-specific models like gas storage and swing contracts are given their due. The unique, practical approach to energy trading includes a comprehensive explanation of the interactions and relations between all energy commodities. Thoroughly revised to reflect recent changes in renewable energy, impacts of the financial crisis, and market fluctuations in the wake of FukushimaEmphasizes both electricity and gas, with all-new gas valuation models and a thorough description of the gas marketWritten by a team of authors with theoretical and practical expertise, blending mathematical finance and technical optimizationCovers developments in the European Union Emissions Trading Scheme, as well as coal, oil, natural gas, and renewables The latest developments in gas and power markets have demonstrated the growing importance of energy risk management for utility companies and energy intensive industry. By combining energy economics models and financial engineering, Managing Energy Risk delivers a balanced perspective that captures the nuances in the exciting world of energy.

Mathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power. It includes many practical examples and covers methods from financial mathematics as well as economics and energy-related models.

"This book provides a nice blend of concise exposition of the theory of stochastic processes, and in particular Lévy processes, financial modeling with such processes, as well as numerical implementations, together with fundamentals of options pricing. Important examples and references are spread adequately throughout the book." –Professor M. Yor, Université Pierre et Marie Curie "Equity Derivatives: Theory and Applications gives a comprehensive, yet succinct, overview of the emerging technologies and architectures in computing today, and describes how those technologies and architectures can be applied to equity derivatives. This book bridges the gap between the pure theory of derivatives and the application of that theory through the use of new computing technologies, such as XML, Web services, and Microsoft’s . NET framework. This was a most informative read, both from a technological and theoretical perspective." –Gregor Noriskin, Architectural Advisor, Developer Division Microsoft Corporation "The frontier of equity derivative transactions presented by the leading quantitative research team . . . This book will set the standard for innovation in the field." –Dr. Hermann Schenk, Managing Director, Covion Organic Semiconductors GmbH "I was very impressed by the authors’ study of the pricing of equity derivatives. This is not an easy subject and clearly the authors have a profound understanding of the matter." –Dr. Serge Mores, Senior Investment Manager, ING Investment Management, Brussels "This well-organized book provides a self-contained, computational, and up-to-date treatment of several interesting topics in the theory of option pricing–mainly in incomplete markets. This is an invaluable addition to the pedagogic literature on equity derivatives that no serious student should be without." –Professor Aubrey Truman, Head of the Department of Mathematics University of Wales Swansea "This book is the first comprehensive guide to link the latest research in mathematical finance with the most recent developments and new technologies in the delivery of pricing and hedging analytics over the Internet. This unique approach is simple to follow, with information organized for easy access." –Jon Kinol, Managing Director, Deutsche Bank Securities