Greg Kiely

Dr. Greg Kiely obtained his Ph.D in Quantitative Finance from the University of Limerick. His main area of research is in the mathematical modelling of energy derivatives and related risk management strategies. He is currently an exotic derivatives trader at Gazprom Marketing & Trading where he is responsible for market making across a range of complex physical and financial energy products.

Articles by Greg Kiely

Gas storage valuation under Lévy processes using the fast Fourier transform

This paper presents the modeling benefits of using Lévy processes and the fast Fourier transform (FFT) in the valuation of gas storage assets and, from a practitioner’s perspective, in creating market-consistent valuations and hedging portfolios.

20 Dec 2017