Serving the Quantitative Finance Community

 
User avatar
Toots

Energy derivatives

January 9th, 2002, 6:54 pm

hidoes anyone know good books on energy derivatives? I've got only Clewlow&Strickland sofar..
 
User avatar
Ellinas

Energy derivatives

January 14th, 2002, 1:25 pm

Hi Toots, there is a book by Dragana Pilipovic: "Energy Risk: Valuing and Managing Energy Derivatives". Maybe you find it usefull..Regards
 
User avatar
Paul
Posts: 6604
Joined: July 20th, 2001, 3:28 pm

Energy derivatives

January 14th, 2002, 1:48 pm

I've got Energy Risk: Valuing and Managing Energy Derivatives by Dragana Pilipovic and found it quite good. It's very easy to criticise any book on energy derivatives at the moment, but this one is moderately down to earth.

P
 
User avatar
Toots

Energy derivatives

January 15th, 2002, 10:53 pm

Thank you, Paul and Ellinas.RegardsT
 
User avatar
cl

Energy derivatives

March 28th, 2002, 8:13 pm

Is anyone aware of anything written on the subject of Gas Storage Pricing? Also a related subject, has anyone sucessfully implemented HJM model for gas forwards?

Regards
 
User avatar
Chukchi
Posts: 0
Joined: December 15th, 2001, 3:43 am

Energy derivatives

March 28th, 2002, 10:08 pm


Gas Storage Pricing? >>

cl, you can request a demo of @ENERGY/Storage from Financial Engineering Associates.

You'll find an article Valuing Natural Gas Storage Using Seasonal Principal Component Analysis at FEA Resources.
http://www.fea.com/web/resources/articles/
 
User avatar
cl

Energy derivatives

April 2nd, 2002, 6:11 pm

Thanks Chukchi.
However, using Monte Carlo, the results before and/or after PCA can be very different. In other words, the "noise" that is screened out by PCA could be exactly where the optionality is. On the other hand, is that part of optionality capturable by hedging? That also leads to the following question:
What would be the significant difference b/w PCA and a curve model such as PJM in this particular problem or in general?
 
User avatar
tw
Posts: 592
Joined: May 10th, 2002, 3:30 pm

Energy derivatives

May 10th, 2002, 3:33 pm

 
User avatar
tw
Posts: 592
Joined: May 10th, 2002, 3:30 pm

Energy derivatives

May 10th, 2002, 3:40 pm

There are one or two, rather old, papers out there about gas storage, but much of the commericalsoftware available uses stochastic dynamic programming. A web search might get some of the descriptionsof the methodology.
 
User avatar
grafixel
Posts: 1
Joined: September 12th, 2002, 1:10 pm

Energy derivatives

September 27th, 2002, 6:34 pm

helloi am looking for a good introductory book for energy derivatives (introductory for a mathematician. i don't mind technical stuff, but want also to understand how the markets work), and have heard that pilipovic's book is rather 'nontechnical' compared with clewlow/strickland, but i haven't yet read either of them. has anybody read both and can comment them? thank you