In the summer of 1998, I was working at a hedge fund in Bermuda and contemplating returning to the United States, the plan being to continue working in a fixed-income quantitative role of some sort. Fortunately, I suppose, a former student of mine at Cornell, Dana Thorpe, strongly encouraged me to look into the energy markets, particularly electricity. Dana had worked in this area for a few years and described the modeling and risk-management state of affairs as being in a nascent stage and largely virgin territory.

As it turned out, several shops had already been systematically building very solid analytics, architected by some of the now best-known minds in the business, and academics were becoming increasingly interested in energy. However, despite the considerable efforts of regiments and brigades of researchers, including groups that I have had the opportunity to run over the years, Dana's assessment made fifteen years ago feels disturbingly close to the truth even now.

My first significant tour of duty in energy was at Constellation Power Source (CPS), at the time the name of the merchant arm of Constellation Energy. Initially, CPS was a joint venture between Goldman Sachs and Baltimore Gas & Electric (BG&E). Perceptions of hubris aside, Goldman management was shrewd enough to know that when entering a business as peculiar and complex as electricity, it might not be a bad idea to partner with people who have been working within the context of the physical system for decades. In many respects this collaboration was successful, with firstrate trading systems and risk-management experience afforded by Goldman coupled with the seasoned skepticism and engineering knowledge of BG&E.