Managing Energy Risk: An Integrated View on Power and Other Energy Markets

Contents

Foreword

Preface

1 Energy Markets

1.1 The oil market

1.1.1 Consumption, production and reserves

1.1.2 Crude oil trading

1.1.3 Refined oil products

1.2 The natural gas market

1.2.1 Consumption, production and reserves

1.2.2 Natural gas trading

1.2.3 Price formulas with oil indexation

1.2.4 Liquefied natural gas

1.3 The coal market

1.3.1 Consumption, production and reserves

1.3.2 Coal trading

1.3.3 Freight

1.3.4 Coal subsidies in Germany: BAFA-indexed prices

1.4 The electricity market

1.4.1 Consumption and production

1.4.2 Electricity trading

1.4.3 Products in the electricity markets

1.4.4 Energy exchanges

1.5 The emissions market

1.5.1 Kyoto Protocol

1.5.2 EU emissions trading scheme

1.5.3 Flexible mechanisms

1.5.4 Products and market places

1.5.5 Emissions trading in North America

2 Energy Derivatives

2.1 Forwards, futures and swaps

2.1.1 Forward contracts

2.1.2 Futures contracts

2.1.3 Swaps

2.2 “Plain vanilla” options

2.2.1 The put–call parity and option strategies

2.2.2 Black's futures price model

2.2.3 Option pricing formulas

2.2.4 Hedging options: the “Greeks”

2.2.5 Implied volatilities and the “volatility smile”

2.2.6 Swaptions

2.3 American and Asian options

2.3.1 American options

2.3.2 Asian options

2.4 Commodity bonds and loans

2.5 Multi-underlying options

2.5.1 Basket options

2.5.2 Spread options

2.5.3 Quanto and composite options

2.6 Spot price options

2.6.1 Pricing spot price options

2.6.2 Caps and floors

2.6.3 Swing options

2.6.4 Virtual storage

3 Commodity ...