KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.
Visit www.kyos.com for more information about Kys energy consulting or this topic.Deutsch
Published in Q1-2012
Journal of Energy Markets, 2012
Cyriel de Jong (KYOS) 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.
This paper is based on the methodologies that are implemented in the KyStore software. KyStore can be used for pricing, risk managing and optimizing gas storage assets or contracts.
► click here to download the paper