Maximising value from your portfolio of gas swing and indexation contracts
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.
[Full extract]

How to accurately value thermal generation assets for greater profits
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.
[Full extract]

Why Risk Quantification is Essential for Energy Portfolios
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?
[Full extract]

Valuing Generation Assets: Overview and Spark Spread Option Valuation
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.
[Full extract]

Are you accurately valuing the flexibility and optionality of your gas swing and storage assets?
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.
[Full extract]

Gas Storage: Spot Optimisation
In this article, Lacima introduces a spot trading strategy to maximise cashflow from gas storage assets.
[Full extract]

Gas Storage: Rolling Intrinsic Valuation
In this article, we describe a simple to execute and risk-limiting trading strategy for valuing gas storage assets: the rolling intrinsic method.
[Full extract]

Gas Storage: Overview and Static Valuation
In this article, we provide an illustration of how the four most common valuation methodologies can be used to optimise gas storage and trading.
[Full extract]

Implied Trees: Valuing Exotic Options
In this article, published in Energy Risk Magazine's Masterclass series, we describe how an implied tree could be used to price exotic options.
[Full extract]

Calibrating Trees to the Market Price of Options
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.
[Full extract]

Application of Multi-Factor Multi-Commodity Modeling Framework to Value Complex Spread Options
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.
[Full extract]

Application of Multi-Factor Multi-Commodity Model for Cargo Dispatch Optimisation
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.
[Full extract]

Multi-Factor Multi-Commodity Models & Parameter Estimation Processes
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.
[Full extract]

Risks & Hedging Techniques for Swing Contracts
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.
[Full extract]

Measuring & Capturing Value in the Flexibility of Gas Swing Contracts
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.
[Full extract]