Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets

In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract owner’s individual risk tolerance, which endogenously determines the optimal hedge

Gas storage

Cyclical gas consumption, as well as limited and lagged adjustments of gas supply (for example, caused by increased production), lead to drastic price movements with uncertain volumes. As a suitable means to hedge against those uncertainties, virtual and physical gas storage contracts are becoming more and more important (see Eydeland & Wolyniec (2013) for market fundamentals, as well as standard pricing and hedging approaches).

However, a market-coherent valuation and replication of these

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Chartis Energy50 2023

The latest iteration of Chartis' Energy50 2023 ranking and report considers the key issues in today’s energy space, and assesses the vendors operating within it

2021 brings big changes to the carbon market landscape

ZE PowerGroup Inc. explores how newly launched emissions trading systems, recently established task forces, upcoming initiatives and the new US President, Joe Biden, and his administration can further the drive towards tackling the climate crisis

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