A practical problem for energy companies is instituting a consistent framework across its supply and trading activities to deliver on all-important P&L and at-Risk reporting requirements. With a focus on storage assets and wider natural gas market exposures, we present a gas storage valuation methodology, which uniquely uses a flexible multifactor Lévy process setting that allows for consistent valuation and risk management reporting across a general derivative book. Our approach is capable of replicating the complex covariance structure of the natural gas forward curve and capturing time spread volatility, a key driver of extrinsic storage value, while being simultaneously capable of accurately calibrating to market traded options. We begi...
This version: September 26, 2008The existence of a financial gas market motivates the analysis of ga...
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation...
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuat...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
peer-reviewedThe full text of this article will not be available in ULIR until the embargo has expir...
A practical problem for energy companies is instituting a consistent framework across its supply and...
The full text of this article will not be available in ULIR until the embargo has expired on the 21/...
peer-reviewedA typical natural gas derivatives book within an energy trading business, bank, or even...
The existence of a financial gas market motivates the analysis of gas storage as a separate asset, u...
Abstract. This paper focuses on the valuation and hedging of gas storage facilities, using a spot-ba...
This version: September 26, 2008The existence of a financial gas market motivates the analysis of ga...
This version: September 26, 2008The existence of a financial gas market motivates the analysis of ga...
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation...
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuat...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
A practical problem for energy companies is instituting a consistent framework across its supply and...
peer-reviewedThe full text of this article will not be available in ULIR until the embargo has expir...
A practical problem for energy companies is instituting a consistent framework across its supply and...
The full text of this article will not be available in ULIR until the embargo has expired on the 21/...
peer-reviewedA typical natural gas derivatives book within an energy trading business, bank, or even...
The existence of a financial gas market motivates the analysis of gas storage as a separate asset, u...
Abstract. This paper focuses on the valuation and hedging of gas storage facilities, using a spot-ba...
This version: September 26, 2008The existence of a financial gas market motivates the analysis of ga...
This version: September 26, 2008The existence of a financial gas market motivates the analysis of ga...
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation...
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuat...