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 boklet
• 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

• 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  Overpriced small patchwork of outdated articles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

• 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)

Rene Carmona
Bendheim Center for Finance
Department of Operations Research & Financial Engineering
Princeton University
Princeton, NJ 08544. USA