Login or register
Home industries products clients partners about news
 


Gas Storage: Spot Optimisation
15 Feb 09
Author: John Breslin, Les Clewlow, Calvin Kwok, Chris Strickland, Daniel Van der Zee



If you have not already logged in, you will be asked to do so prior to downloading.

In this article we describe a spot trading strategy which maximises the total expected cash flow from the storage facility using a trinomial tree based optimisation model.

The tree based optimisation allows a trading strategy which takes account of the future distribution of spot prices to be efficiently calculated. 

 
News
Events
Research Papers
& Articles
Lacima Research
Papers & Articles
Lacima Conference
Presentations
International
Research Forum