“Energy Derivatives: Pricing & Risk Management“, by Les Clewlow and Chris Strickland. Published by Lacima Group, 2000.

Energy markets around the world are rapidly being deregulated leading to unprecedented levels of competition in the energy industry, increased exposure to the prices on energies, and exposing participants to potentially catastrophic risks.

This book provides a comprehensive and technical treatment of the valuation and risk management of energy derivatives, within the oil, gas, and electricity markets, and looks in depth at:

• the behaviour of spot and forward prices
• modelling and estimating volatility
• structures that exist in the energy derivatives market and their applications
• pricing and hedging of energy derivatives using single and multi-factor spot price models
• using simulation and trinomial trees for pricing caps, floors, swaptions, and path-dependent securities such as barriers, Asians, lookbacks, and swing options.
• multi-factor models of the forward curve, including volatility estimation and pricing of exotic derivatives
• risk management of energy derivative positions
• value-at-risk and credit risk for energy derivatives.

A large proportion of the content is original research by the authors who have applied over 20 years combined derivatives experience and research to the energy markets.