Managing Energy Risk is a practical guide to using modern techniques in financial mathematics for trading energy. Following the successful first edition of the book, this second edition catches up with significant developments of energy markets over the last years and contains plenty of new...

Commodity prices are significantly more volatile than prices of industrial products. The main functions of futures trading being hedging against, and speculation on price fluctuations; and it is hedging, that determines the role of speculation.

A parimutuel market microstructure for contingent claims trading is proposed and analyzed. A parimutuel microstructure is a call auction where relative equilibrium prices of contingent claims are endogenously determined using a specific mechanism. We propose a market microstructure incorporating...

Since trading cannot take place continuously, the optimal portfolio calculated ina continuous-time model cannot be held, but the investor has to implement thecontinuous-time strategy in discrete time. This leads to the question how severe theresulting discretization error is. We analyze this...