The last twenty years have witnessed the deregulation of the energy markets, particularly the natural gas and power markets. The direct result of the deregulation has been the need for development of analytical tools that would allow market participants to manage new risks induced by the deregulated markets and to protect the value of energy assets, such as power plants, gas storage and pipelines, from exposure to market price fluctuations. This presentation gives a detailed account of various risks encountered in the energy markets, introduces methods of managing these risks and describes analytical approaches to modeling energy price behavior. Special attention is given to the recent developments in energy markets and new trends in energy derivatives.