January 2012

Energy organisations are increasingly challenged to establish rigorous and disciplined processes to identify, measure and report risks and to ensure that they are utilising relevant market and credit risks metrics. This business briefing discusses why most people find that the majority of ETRM systems alone are not sufficient to address the comprehensive risk and valuation needs of an energy organisation, the obstacles faced in attempting to overcome these deficiencies internally, and proposes alternative approaches for consideration.

March 2011

Increased liquidity and competition in European gas markets has resulted in the ability to take advantage of the flexibility and constraints in long term agreements. With optimisation techniques improving, it is becoming easier to maximise the value derived from these agreements. In this paper, Lacima discusses the importance of accurately valuing the complex terms in a gas swing contract to achieve maximum value, and how this impacts the whole portfolio and hedging decisions.

November 2009

Learn how to treat generation assets as real options, evaluate different valuation methods, measure the risk of portfolios with physical assets and financial hedge contracts, incorporate optimal dispatch strategies and more.

October 2008

How can I take advantage of energy market uncertainties? How does risk quantification create value for my company? Learn about the range of risk factors to consider and the methods of quantification.

6 May 09

Learn about different ways to value the flexibility of generation assets as real options whilst taking into account the constraints in operating the plant.

15 Jan 09

We describe a storage valuation method known as the rolling intrinsic strategy, which extends the intrinsic strategy by allowing for regular re-optimisation and rebalancing of the portfolio.

15 Feb 09

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

15 Nov 08

We provide an illustration of how the four most common valuation methodologies are used in practice with practical examples illustrating their implementation.

13 Oct 08

In this article we calibrate the tree to the market prices of fixed strike Asian options and then show how to price floating strike Asian options as our example of an alternative derivative.

14 Aug 08

We outline an approach for calibrating a local volatility surface single factor model to market prices of average price (Asian) options.

15 Apr 08

We describe the use of the multi-factor multi-commodity model in determining the optimal location for shipping a cargo, specifically the delivery of LNG.

15 Mar 08

We discuss a general multi factor multi commodity model and the process for estimating parameters from historical data.

15 Feb 08

In this article, we discuss risks & hedging techniques for swing contacts with take-or-pay, make-up & carry-forward features.

15 Jan 08

Learn about the techniques to capture the value in the flexibility of gas swing contracts that permit realistic incorporation into at-risk calculations.