| |
 |
 |
 |
 |
| Lacima Group |
18 Jan 10 |
This paper presents an overview of the latest techniques that can be employed to value and optimise gas swing and indexation contracts as well as optimise the hedged portfolio outcome.
|
|
| Lacima Group |
26 Oct 09 |
In this paper, we detail a number of different ways in which industry practitioners typically value the flexibility of generation assets as real options while taking into account the constraints in operating the power plant.
|
|
| Dr Robert Dykstra, Principal Consultant - Lacima Group |
24 Aug 09 |
This paper answers key concerns facing organisations trading in multiple commodities in today's uncertain financial climate such as: What quantifiable risk factors are there? How can I take advantage of market uncertainties? How does risk quantification create value for my company?
|
|
| Les Clewlow, Chris Strickland, Doug Meador, Ron Sobey |
6 May 09 |
In this article, we detail a number of different ways in which industry practitioners typically value the flexibility of generation assets as real options whilst taking into account the constraints in operating the plant.
|
|
| Lacima Group |
24 Feb 09 |
This paper presents an overview of the latest techniques that can be employed to value and optimise gas swing and storage assets, which move closer towards best practice.
|
|
| John Breslin, Les Clewlow, Calvin Kwok, Chris Strickland, Daniel Van der Zee |
15 Feb 09 |
In this article, Lacima introduces a spot trading strategy to maximise cashflow from gas storage assets.
|
|
| John Breslin, Les Clewlow, Tobias Elbert, Calvin Kwok, Chris Strickland and Daniel Van der Zee |
15 Jan 09 |
In this article, we describe a simple to execute and risk-limiting trading strategy for valuing gas storage assets: the rolling intrinsic method.
|
|
| John Breslin, Les Clewlow, Tobias Elbert, Calvin Kwok and Chris Strickland |
15 Nov 08 |
In this article, we provide an illustration of how the four most common valuation methodologies can be
used to optimise gas storage and trading.
|
|
| Jim Clark, Les Clewlow and Chris Strickland |
13 Oct 08 |
In this article, published in Energy Risk Magazine's Masterclass series, we describe how an implied tree could be used to price exotic options.
|
|
| Jim Clark, Les Clewlow, Chris Strickland |
14 Aug 08 |
In this article, published in Energy Risk Magazine's Masterclass Series, we outline an approach for calibrating a local volatility surface single factor model to market prices of average price (Asian) options.
|
|
| John Breslin, Les Clewlow, Chris Strickland, Calvin Kwok, Matthias Pfau |
15 Jun 08 |
In this article published in Energy Risk Magazine’s Masterclass series, we describe how the MFMC model can be used as the basis of a Monte Carlo simulation for the valuation of complicated spread options that depend on a basket of energy prices.
|
|
| John Breslin, Les Clewlow, C Kwok, Chris Strickland |
15 Apr 08 |
In this article published in Energy Risk Magazine’s Masterclass series, we describe the use of the multi-factor multi-commodity (MFMC) model in determining the optimal location for shipping a cargo, specifically the delivery of LNG.
|
|
| John Breslin, Les Clewlow, Chris Strickland, Calvin Kwok, Daniel van der Zee |
15 Mar 08 |
This article published in Energy Risk Magazine’s Masterclass series, discusses a general multi factor multi commodity (MFMC) model and the process for estimating parameters from historical data.
|
|
| John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee |
15 Feb 08 |
The main features of swing contracts which make them difficult to value and risk manage are the constraints on the quantity of, for example, gas which can be taken. In this article, published in Energy Risk Magazine’s Masterclass series, we discuss risks & hedging techniques for swing contacts with take-or-pay, make-up & carry-forward features.
|
|
| John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee |
15 Jan 08 |
In this article, published in Energy Risk Magazine’s Masterclass Series, we outline the key features of typical swing contracts, describe how the value in these contracts can be determined, and also how the constraints on the contract impact the optimal exercise strategy.
|
|
| Les Clewlow, Chris Strickland and Vince Kaminski |
1 Oct 01 |
Swing-based contracts allow the holder to choose within limits the quantity of the underlying energy they wish to receive.
|
|
| Les Clewlow, Chris Strickland and Vince Kaminski |
1 Jul 01 |
In this article we outline a methodology for the pricing of swing type contracts, which applies the technique to a gas sales agreement (GSA). The performance of an analysis of the GSA is left to a future article. The term swing refers to the flexibility in the quantity of energy that the holder of the swing option can receive.
|
|
| Michael Booth, Les Clewlow and Chris Strickland |
1 May 01 |
Power generation based contracts such as Gas Supply Agreements and Virtual Power Stations have embedded path dependent optionality.
|
|
| Les Clewlow and Chris Strickland |
1 May 01 |
In this article, we show how very general European-style derivatives can be priced and extend the analysis to path-dependent and American-style options.
|
|
| Les Clewlow, Chris Strickland and Vince Kaminski |
1 Apr 01 |
Perhaps the main advantage of the forward curve modelling approach is the flexibility the user has in choosing both the number and form of the volatility functions.
|
|
| Les Clewlow,Chris Strickland and Vince Kaminski |
1 Mar 01 |
Here we concentrate on valuations of products that do yield analytical tractability,and so do have closed-form solutions. Analytical pricing, if achievable, is important for a number of reasons.
|
|
| Les Clewlow, Chris Strickland and Vince Kaminski |
1 Feb 01 |
But some energy prices, electricity being the classic example, often exhibit sudden,unexpected and discontinuous changes. A model such as that mentioned above struggles to capture this type of behaviour (see EPRM December 2000, page 26).
|
|
| Les Clewlow and Chris Strickland |
10 Jan 01 |
Energy prices often exhibit sudden, unexpected and discontinuous changes. Jump behaviour – ‘spiking’or ‘gapping’, is driven in many cases by fluctuations in demand and low elasticity of supply, reflecting rigidities in the transportation and transmission system and limited inventories.
|
|
| Les Clewlow and Chris Strickland |
1 Dec 00 |
We recently showed how to estimate parameters for a mean reverting spot price model applied to energy markets (see EPRM November 2000, page 24). Here we extend that analysis to the pricing of a wide range of energy derivatives using spot price models.
|
|
| Les Clewlow and Chris Strickland |
1 Nov 00 |
In this article we analyse this so-called mean reversion,which was first described by Vasicek (1977) for modelling interest-rate dynamics, and which has subsequently been widely adapted. some long-term level,and not drift off to higher and higher values.
|
|
| Les Clewlow and Chris Strickland |
1 Oct 00 |
Value-at-risk (Var) answers a fundamental question facing all energy risk managers: What is the most I can lose in a chosen number of days with chosen likelihood?
|
|