Regime Switch Model

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To Store or Not to Store
Here we describe the optimal operation and valuation of gas storage based on a real option methodology. Using Zeebrugge gas prices as a practical example, we clarify the optionality in gas storage, analyse its valuation and discuss hedging strategies to secure part of the storage value.
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Valuation of a Swing Option in the Mean-Reverting Market Environment
We present the valuation of an operational swing option in the mean-reverting market environment.
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The Forecasting Performance of Natural Gas Price Models, Hedging Strategies and the Average Cost of Gas
Electricity generating utilities are major users of natural gas. A consequence of the deregulation to date and coming deregulation of the electricity-generating sector has been an increase in variability of input and output prices and significant variability of profit margins and cash flows for electricity producers.
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Natural Gas Prices and the Gas Storage Report: Public News and Volatility in Energy Futures Markets
This study examines the short-term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile exchange.
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Pricing American Options Using Monte Carlo Simulation with Local Regression
This paper examines local regression techniques as a way of applying Monte Carlo simulation to value American style assets.
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Plant Response as a Determinant of the Volatility Term Structure of Power
The difficulty of storage of power means that supply flexibility rather than stocking and destocking is the principal method of matching demand volume.
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A Practitioner’s Approach to Pricing & Hedging
This presentation describes an example of the application of mathematical concepts in a practical way.
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Modeling Power Forward Prices for Power with Spikes
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.
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