Energy Risk: Valuing and Managing Energy Derivatives

Author: Dragana Pilipovic
List Price: $60.00
Our Price: Click to see the latest and low price
ISBN: 0786312319
Publisher: McGraw-Hill Trade (01 November, 1997)
Sales Rank: 17,199
Average Customer Rating: 3.43 out of 5

Customer Reviews

Rating: 5 out of 5
It gives me what I need to do my job.
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.


Rating: 4 out of 5
Powerful Stuff
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


Rating: 4 out of 5
Not for newcomers
I work in the energy products/generation industry and thought this will help explain what the whole energy-risk field is about. I'm still as confused now as I was before I bought the book .. probably because I dont have a strong background in computational finance. This is defintely not for newcomers and is really geared to the quants.

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