Publications - Gas Markets

Overview:

► GasTerra virtual gas storage value declined by 49% (KYOS analysis, 2012)

► How much money can be made with a gas storage in a difficult market? (KYOS analysis, 2012)

► Gas storage valuation using a multi-factor price process (Journal of Energy Markets, 2011)

► A decade of Rough storage trading results in the UK NBP gas market (KYOS analysis, 2010)

► Gas storage valuation using a Monte Carlo method (Journal of Derivatives, 2008)

► To store or not to store (Energy Risk, 2003)

► Gas hubs jockey for position (Energy Risk, 2003)

See also:
Power market publications. Click here.
Risk and pricing publications. Click here.

 

GasTerra gas storage value declined in value by 49%

KYOS Analysis, 2012

Summary: On 28 November 2012 APX Endex auctions a virtual gas storage product for the TTF market, on behalf of GasTerra. Our analyis shows that the estimated value of this 2013 product declined in value by 49% relative to the estimated value earlier this year. The report shows why, and compares the values to the auction price of February 2012. Note: the actual auction price was 3.63, quite close to our assessment of 4.00 EUR/SBU, published before the auction.

► click here to download the paper

How much money can be made with a gas storage in a difficult market?

KYOS Analysis, 2012

Summary: The years 2010 and 2011 have been a challenging period for many storage operators. Nevertheless, a substantial premium income could be realized  with an active trading strategy around the storage. This is one of the main conclusions from a backtest performed by KYOS on the German NCG market. When making the analysis, KyStore software helped to make a fair assessment of intrinsic and extrinsic value. 

► click here to download the paper

 

 Gas storage valuation using a multi-factor price process

Journal of Energy Markets, 2011
Cyriel de Jong and Alexander Boogert

Summary: In this article we demonstrate how a multi-factor price process can be used for the valuation of gas storage. The inclusion of multiple factors in the least-squares Monte Carlo method allows for a more realistic representation of risk and reward. It also allows us to study in more detail the impact of hedging and find that a simple static hedge can reduce the spot price risk considerably.

► click here to download the paper or visit www.erasmusenergy.com

A decade of Rough storage trading results in the UK NBP gas market

KYOS Analysis, 2010

Summary: The paper presents results of a gas storage valuation backtest. The backtest uses 12 years of historical price data of the NBP market. In the backtest various trading strategies are analyzed; it is evaluated how spot trading, forward trading and a combination of both would have fared over this 12 year period. The analysis leads to various insightful results.

► click here to download the paper or visit www.erasmusenergy.com

Gas storage valuation using a Monte Carlo method

Journal of Derivatives, 2008
Cyriel de Jong and Alexander Boogert

Summary: In this article we explain mathematically how the least-squares Monte Carlo method can be applied to the valuation of gas storage. This method makes it possible to incorporate realistic gas price dynamics and complex physical constraints. We include numerical results and show ways to improve computational speed.

► click here to download the paper or visit www.erasmusenergy.com

To store or not to store

Energy Risk (former Energy Price Risk Management), 2003
Cyriel de Jong and Kasper Walet

Summary: In this article we demonstrate for the first time how the least-squares Monte Carlo method can be applied to the valuation of gas storage. We explain the logic and show some intuitive results.

► click here to download the paper or visit www.erasmusenergy.com

Gas hubs jockey for position

Energy Risk (former Energy Price Risk Management), 2003
Cyriel de Jong and Kasper Walet

Summary: This article reviews the outlook for the different trading hubs in Europe: which hub will attract most trading volumes? Will it be the NBP, the Dutch TTF (then Bunde-Ouden hub), Baumgarten in Austria, Zeebrugge in Belgium or one of the German hubs? The article includes the results of a survey among gas market professionals.

► click here to download the paper or visit www.erasmusenergy.com

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