Flexible, martingale duality-based method provides reliable valuation
Proposal on ‘seventh prong’ seen as positive step by industry
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More Natural gas articles
Energy firms need clarity on 'seventh prong', commissioner says
Agency said to be exploring solution for embedded volumetric options
OTC derivatives volumes rise amid optimism about natural gas
Small derivatives hedgers bewildered by emails from regulator
This paper presents a specific modeling relationship between spot (day-ahead, or "cash" prices) and the prompt-month futures contract in the natural gas (natgas) market. Under the mean-reverting model...
volume 7, issue 3, 2014
Electricity market excites investors, but challenges remain
Physical deals with producers seen as ‘superior’ to financial hedging
Grasp of market psychology key to success, says Centaurus founder
Energy director-general also blasts “unjustified” energy subsidies
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.