An overview of effective methods for constructing long-term LNG forward price curves
Applying kriging to extract smooth curves from energy futures prices
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Quantitative analysis articles
Liquidity plays a vastly underappreciated role in commodity markets
New areas for quant research are in abundance, but resources are not
North American shale boom and renewables growth underline importance
How to actively manage the value-at-risk of energy derivatives
An improved Japan economy is ramping up quant investor activity across Asia
Lean times in energy and commodity derivatives trading have caused a cutback in the amount of time and resources spent on energy risk modelling – a worrying trend that could leave firms unprepared...
Jesper Andreasen slams new generation of quants as indoctrinated "muppets", incapable of independent thought
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.