Title: Energy Modelling: Advances in the Management of Uncertainty
Abstract: 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 Helyette 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
Publication Year: 2005
Publication Date: 2005-07-15
Language: en
Type: book
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Cited By Count: 9
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