Publications - Gas Markets

Overview:

► Gas storage valuation using a multi-factor price process (Journal of Energy Markets, 2012)

► 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.

 

Gas storage valuation using a multi-factor price process

Journal of Energy Markets, 2012
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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