RWE Supply & Trading GmbH
Markus studied mathematics at the University of Ulm, Germany, and Swansea University, UK. At the latter he worked on his PhD dissertation about "Investigations on Families of Probability Measures Depending on Several Parameters", which he defended in 2007. Thereafter, he researched and taught in the fields of stochastics and statistics at the Technical University of Braunschweig, Germany. In 2010 he decided to work in the energy industry and since then is an employee of the major European utility RWE Group. After four years as a commodity risk analyst he joined the Gas Portfolio Management of RWE Supply & Trading, where he is responsible for structuring and pricing of flexible gas supply contracts, storage capacities as well as transport capacities on/between major European gas hubs.
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.