Handbook of Multi-Commodity Markets and Products

Preface xix
 
Acknowledgements xxiii
 
About the Editors xxv
 
List of Contributors xxvii
 
PART ONE Commodity Markets and Products
 
CHAPTER 1 Oil Markets and Products 3
Cristiano Campi and Francesco Galdenzi
 
1.1 Introduction 3
 
1.2 Risk Management for Corporations: Hedging Using Derivative Instruments 4
 
1.2.1 Crude Oil and Oil Products Risk Management for Corporations 4
 
1.3 Oil Physical Market Hedging and Trading 41
 
Further Reading 66
 
CHAPTER 2 Coal Markets and Products 67
Lars Schernikau
 
2.1 Introduction 67
 
2.2 Source of Coal - Synopsis of the Resource Coal 72
 
2.3 Use of Coal - Power Generation and More 90
 
2.4 Overview of Worldwide Steam Coal Supply and Demand 102
 
2.5 The Global Steam Coal Trade Market and its Future 121
 
2.6 Concluding Words 129
 
Abbreviations and Definitions 130
 
Acknowledgements 132
 
References 132
 
CHAPTER 3 Natural Gas Markets and Products 135
Mark Cummins and Bernard Murphy
 
3.1 Physical Natural Gas Markets 135
 
3.2 Natural Gas Contracting and Pricing 154
 
3.3 Financial Natural Gas Markets 158
 
References 180
 
CHAPTER 4 Electricity Markets and Products 181
Stefano Fiorenzani, Bernard Murphy and Mark Cummins
 
4.1 Market Structure and Price Components 181
 
4.2 Renewables, Intra-Day Trading and Capacity Markets 205
 
4.3 Risk Measures for Power Portfolios 216
 
References 221
 
Further Reading 221
 
CHAPTER 5 Emissions Markets and Products 223
Marc Chesney, Luca Taschini and Jonathan Gheyssens
 
5.1 Introduction 223
 
5.2 Climate Change and the Economics of Externalities 224
 
5.3 The Kyoto Protocol 227
 
5.4 The EU ETS 232
 
5.5 Regional Markets: A Fragmented Landscape 239
 
5.6 A New Asset Class: CO2 Emission Permits 241
 
Abbreviations

ANDREA RONCORONI is Professor of Finance at ESSEC Business School (Paris-Singapore), regular Visiting Professor at Bocconi University (Milan), and Director of the ESSEC Energy and Commodity Finance research center. He holds PhD's in Applied Mathematics and in Finance. His research interests primarily cover energy and commodity markets, corporate financial risk analysis and management, quantitative modelling, derivative design and valuation. Andrea put forward the Threshold Model for price simulation in spiky electricity markets, and devised FloRisk Metrics, an effective analytics to monitor and manage corporate financial exposure. He publishes in academic journals, professional reviews, financial book series, and acts as Associate Editor for the Journal of Energy Markets and Co-Editor for Argo Review. Andrea has co-authored the reference volume Implementing Models in Quantitative Finance. As a professional advisor, he consulted for private companies and public institutions, including Dong Energy, Edison, Enel, GDF, Natixis, and Trafigura Electricity Italia (TEI Energy). He is founder and CEO of Energisk, a start-up company developing cutting-edge risk analytics for corporate clients.
 
GIANLUCA FUSAI is Full Professor in Financial Mathematics at the University of Eastern Piedmont, Italy, and a PT Reader in Mathematical Finance at Cass Business School, City University of London, UK. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. His research interests focus on Energy Markets, Financial Engineering, Numerical Methods for Finance, Quantitative Risk Management. He has published extensively on these topics in top-tier international reviews. Gianluca has also co-authored the best-selling textbook Implementing Models in Quantitative Finance. Gianluca has cooperated to several projects in energy markets including a multi-energy risk