Energy / Commodity Bibliography

Articles & Tech. Reports on Energy Risk

  • O.E. Bandorff-Nielsen, F.E. Benth and A. Vervaart: Modelling energy spot prices by volatility modulated Levy driven Volterra processes.
    Bernoulli 19 (3) (2010) 803-845
  • F.E. Benth, A. Cartea and R. Kiesel: Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium.
    Journal of Banking and Finance 32 (10) (2008) 2006-2021
  • F.E. Benth and C. Sgarra: The risk premium and the Esscher transform in power markets.
    Stochastic Analysis and its Applications 30 (2012) 20-43.
  • H. Bessembinder and M.L. Lemon: Equilibrium pricing and optimal hedging in electricity forward markets.
    Journal of Finance 57 (2002) 1347 - 1382.
  • A. Cartea and M.G. Figueroa: Pricing in electricity markets: a mean reverting jump diffusion model with seasonality.
    Applied Mathematical Finance 12 (3) (2005) 313 - 335.
  • H. Geman and O. Vasicek: Forwards and futures on non-storable commodities: the case of electricity.
    RISK (August 2001).
  • R. Gibson and E.S. Schwartz: Stochastic convenience yield and the pricing of oil contingent claims.
    Journal of Finance 45 (1990) 959 -- 976.
  • J. Lucia and E.S. Schwartz: Electricity prices and power derivatives: evidence from the Nordic power exchange.
    Review of Derivatives Research 5 (1) (2002) 5-50.
  • E.S. Schwartz and J.E. Smith: Short term variations and long term dynamics in commodity prices.
    Management Science 46 (7) (2005) 893 - 911.

Books on Energy Risk & Weather Derivatives

Here is a tentative list of some introductory books on Energy Risk I took the freedom to comment on some of the books I read. My personal remarks appear in italic after the book citation. Feel free to add to this list by sending me your comments and references I overlooked.

A case in point: Risk Publications has a series of books on energy and electricity trading. Their prices are outrageous and I cannot afford to own any of them (here is an academic perspective for you), so they are mostly ignored in the first draft of this compilation. Those of you who can afford them, and think that they should be added to the list, please feel free to send me material.

General Introduction to the Economics of Energy Risk

  • T.J. Brennan, K. Palmer, and S. Martinez: Alternating Currents: Electricity Markets and Public Policy. Resources for the Future (2002)
    Econ/ Public policy pamphlet
  • S. Stoft: Power System Economics: Designing Markets for Electricity. Wiley IEEE (2002)
    very nice econ textbook
  • International Energy Agency: Competition in the Electric Markets. Energy Market Reform. OECD/IEA 2001
    Econ booklet
  • T.J. Brennan, K. Palmer, and S. Martinez: Alternating Currents: Electricity Markets and Public Policy. Resources for the Future (2002)
    Econ/ Public policy pamphlet
  • J. Sweeney: The California Electricity Crisis. Hoover Institution Press (2002)
    Best source to understand the intricacies of the California electricity crisis

Mathematical Textbooks

  • D. Pilipovic: Energy Risk: Valuing and Managing Energy Derivatives. Mc Graw Hill, (1997)
    Historical value. Mathematical models restricted to the author's own work
  • L. Clewlow and C. Strickland: Energy Derivatives: Pricing and Risk Management. Lacima Publications (2000)
    Clear and lucid presentation of most of the mathematical models still in use as of today
  • A. Eydeland and K. Wolyniec: Energy and Power Risk management Wiley (2003)
    Very nice source of information for the quant/mathematician in search for an inside view at the electricity markets. As of today, best reference text
  • H. Geman: Commodities and Commodity Derivatives. Wiley - Finance (2005)
    Unique in the sense that it provides a very detailed informative introduction to the commodity markets (as one would expect from a book intended for MBAs, and still, some reasonably detailed mathematical models to formalize the idiosyncrasies of these markets, and pricing and hedging procedures within the framework of these models.
  • F.E. Benth, J. Salyte Benth and S. Koekebakker: Stochastic Modelling of Electricity and Related Markets, World Scientific (2008)
    Rigorous presentation of mathematical models for the term structures of forward prices, with a original discussion of the delivery periods. Especially appropriate for anyone trying to understand the mathematics of the electricity markets.

Weather Derivatives

  • E. Geman ed. (1999): Insurance and Weather Derivatives. Risk Books
    Overpriced small patchwork of outdated articles
  • R. Dishel (2002) Climate Risk and the Weather Market.
    Too expensive ! Can't afford it, so I don't know what's in there
  • Element Re (2002) Weather Risk Management. Palgrave
    Excellent book - Detailed presentation of all the facets of this young and intriguing market
  • S. Jewson and A. Brix: Weather Derivative Valuation, (to appear later in 2004)
    Anticipated to be a very complete treatese on the subject

Conference Proceedings & Edited Chapter Books

  • P. Fusaro: Energy Risk Management Mc Graw Hill (1998)
    edited book on hedging strategies and instruments for the international energy markets.(soft)
  • G. MacKerron and P. Pearson eds: The UK Energy Experience: a Model or a Warning?
    Imperial College Press (1996)
    Conference Proceedings (soft)
  • G. MacKerron and P. Pearson eds: The International Energy Experience: Markets, Regulations and the Environment. Imperial College Press (2000)
    Conference Proceedings (soft)

Journals & Magazines on Energy Risk

Technical papers in quantitative finance dealing with the energy markets are usually published in financial engineering journals. A good feel of these markets can be derived from regular readings of monthly magazines such as: