With the help of KYOS’ fundamental market model. Spring Associates has calculated that the economic value of the two older Dutch coal plants equals €0.5 billion. The three new plants are valued at €3.2 billion, which is considerably lower than their respective construction costs.
Live price curves for contract pricing and dispatch optimization
It has become increasingly important to have immediate access to live market prices. For several applications within energy trading and pricing, it may be good enough to use end-of-day market prices, but live price curves are especially critical for pricing of contracts and power plant dispatch optimization.
Journal of Energy Markets: Cointegration between gas and power spot prices
In this paper we show how cointegration can be applied to capture the joint dynamic of multiple energy spot prices. Our analysis shows that gas prices are strongly cointegrated, whereas cointegration of gas and power prices is at long-term forward price levels only.
Journal of Derivatives: Gas storage valuation using a Monte Carlo method
In this article, we develop a method for gas storage valuation using Monte Carlo (LSMC) techniques. The method incorporates realistic gas price dynamics and complex physical constraints. Specifically, we extend the Least Squares Monte Carlo method for American options to storage valuation.
Commodities Now: Negative prices in electricity markets
Commodities Now Publication about negative power prices by Cyriel de Jong (2003). Negative prices in electricity markets logo In this paper we describe how liberalisation has lead to the segmentation of trading opportunities for electricity with different periods to delivery. We clarify the price characteristics in each segment, including the extreme volatility in short-term prices and the phenomenon… Read more »
Energy Power Risk Management: Gas hubs jockey for position
According to a survey of European natural gas experts, the Bunde-Oude gas hub is the most likely candidate to become the Henry Hub of Europe.
Energy Power Risk Management: Option pricing for power prices with spikes
Cyriel de Jong and Ronald Huisman have written the following article about the topic of Option Pricing. It appeared first in 2003 in the Journal of Energy Power Risk Management. The authors examine the impact of spikes on option prices. They compare prices from a standard mean-reverting model to a regime model that disentangles the spike process from the mean-reverting… Read more »