text_combined: energy derivatives hi vince hope well looking forward seeing next week meeting grant guys favour sending sample chapters people responded positively request feedback book chapter 1 overview book couple sentences chapter could please write sentence two chapter including already written see style many thanks best regards chris 2 overview book book aims provide depth understanding pricing risk management energy derivatives remainder chapter give overview fundamental principals needed model price energy assets underlie rest book well introducing techniques underlie black scholes modelling framework discuss numerical techniques trinomial trees monte carlo simulation derivative pricing used extensively later book chapter 2 analyse spot energy prices apart describing empirical prices propose number processes used model prices look well know process gbm well mean reversion stochastic volatility jump processes discussing showing simulated parameters estimated chapter 3 written vince kaminski grant masson enron capital trade chapter 4 examines forward curves energy markets although curves well understood straight forward world debt markets difficulty storage many energy markets leads less well defined curves chapter chapter 5 presents overview common common derivative structures energy markets discusses uses examples products analysed chapter include variety swaps caps floors collars well energy swaptions compound options asian average rate options barriers lookbacks ladder options chapter 6 investigates single multi factor models energy spot price pricing standard energy derivatives closed form solutions forward prices forward volatilities european option prices derived presented models chapter including three factor stochastic convenience yield interest rate model jumps chapter 7 shows prices path dependent american style options evaluated models chapter 6 simulation schemes developed evaluation european style options applied variety path dependent options order price options incorporate early exercise opportunities trinomial tree scheme developed tree built consistent observed forward curve used price exotic well standard american style options chapter 8 develops new methodology valuing energy options based modelling market observed forward curve approach results multi factor model able capture realistically evolution wide range energy forward curves user defined volatility structures extremely general form closed form solutions developed pricing standard european options efficient monte carlo schemes exotic options chapter finishes discussion valuation american style options chapter 9 focuses risk management energy derivative positions chapter discuss management price risk institutions sell options derivatives client faced problem managing risk time begin delta hedging portfolio containing derivatives look extensions gamma hedging using models chapters 5 7 general model chapter 7 ideally suited multi factor hedging also discussed chapter 10 looks key risk management concept value risk applied portfolios containing energy derivative portfolios discussing concept measure look key inputs volatilities covariances correlations etc estimated compare fours major methodologies computing var delta delta gamma historical simulation monte carlo simulation finally look testing var estimates various underlying energy market variables finally finish credit risk energy markets chapter 11