Robust valuation and hedging of tolling agreements and physical assets

Flexible, martingale duality-based method provides reliable valuation

Natural gas storage - tolling agreements and physical assets
This paper considers a simplified version of a natural gas power plant

The problem of valuation and risk management of tolling agreements or complicated physical contracts/assets within a trading environment has received a substantial amount of interest in both the academic and practitioner literature (see Eydeland & Wolyniec (2014)).

The significant complexity of the associated payoff function with the many path-wise dependencies and non-convexities (such as lump costs) have led to a variety of solutions, approaches and heuristics. There is clearly a need to cut

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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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