The model supports day-to-day trading decisions. It advises on optimal exercise strategies, analyses the risk profile and adds value through asset based forward trading.
Least Squares Monte Carlo for a swing contract
The swing valuation software is based on advanced simulation techniques. Important characteristics are a mean-reverting multi-factor model with long-term, short-term and seasonal dynamics. Optimal trading decisions are calculated by applying Least Squares Monte Carlo techniques. Volatility term structure and other simulation inputs are easily derived from historical data with the accompanying calibration tool. By applying cointegration, realistic spreads between oil and gas prices are generated.
For additional information regarding swing contract optimization and valuation, please contact us. We can be reached through phone number +31 (0)23 551 02 21. It is also possible to direct your questions to us by submitting the contact form, or through e-mail address firstname.lastname@example.org.