Articles liés à Natural Gas Storage Valuation

Natural Gas Storage Valuation - Couverture souple

Li, Yun

 
9783639174663: Natural Gas Storage Valuation
Couverture souple
ISBN 10 : 3639174666 ISBN 13 : 9783639174663
Editeur : VDM Verlag, 2009

Synopsis

Natural gas storage valuation is a challenging topic. It requires both appropriate price models and optimization models. We assume that each forward price follows a geometric Brownian motion process. Spot price also follows a geometric Brownian motion process, but its expectation changes from month to month. Since optimization models are independent of price simulations, alternative price models can be implemented in the valuation. Various models are used for storage valuation, including "intrinsic rolling with spot and forward", Monte Carlo simulation with ordinary least square regression, and Monte Carlo simulation with stochastic dual dynamic programming. The first methodology takes both forward and spot prices into account, while the other two methodologies only use spot price. The results show that many factors can impact the value of a storage, including the term structure of the forward prices, volatilities of forward and spot prices, and the operational flexibility of the storage.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Natural gas storage valuation is a challenging topic. It requires both appropriate price models and optimization models. We assume that each forward price follows a geometric Brownian motion process. Spot price also follows a geometric Brownian motion process, but its expectation changes from month to month. Since optimization models are independent of price simulations, alternative price models can be implemented in the valuation. Various models are used for storage valuation, including "intrinsic rolling with spot and forward", Monte Carlo simulation with ordinary least square regression, and Monte Carlo simulation with stochastic dual dynamic programming. The first methodology takes both forward and spot prices into account, while the other two methodologies only use spot price. The results show that many factors can impact the value of a storage, including the term structure of the forward prices, volatilities of forward and spot prices, and the operational flexibility of the storage.

Biographie de l'auteur

Currently, Mr. Yun Li is a Senior Quantitative Analyst at DTE Energy Trading. Mr. Li's work focuses on derivative pricing and asset valuation. Mr. Li earned a B.S. degree in Technical Physics from Beijing University and a M.S. degree in Quantitative and Computational Finance from Georgia Institute of Technology.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag
Date d'édition
2009
Langue
anglais
ISBN 10 
3639174666
ISBN 13 
9783639174663
Reliure
Broché
Nombre de pages
72
Coordonnées du fabricant
non disponible
Personne responsable
non disponible