Energy Risk - 2008-09-10

Crunching the numbers

Advances in analytical tools, coupled with a proposed December Ferc ruling requiring US gas providers to publish gas flow data, could herald a revolution in US natural gas trading. Algorithmic trading techniques, similar to the kinds used in the equity…

Implied trees: Valuing exotic options

In this next installment of the Masterclass series, Jim Clark, Les Clewlow and Chris Strickland show how to value exotic options, using a calibrated local volatility surface consistent with market prices

Where to next for gas prices?

US natural gas markets can be tricky to predict, as recent high-profile losses in these markets have shown. However, there are some aspects of price behaviour that are more uniform than might be imagined, writes David Linton of Updata

Valid Assumptions Required: backtesting

Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.

The outlook for US gas

US natural gas prices, which have fallen by 30% recently, are expected to stabilise at current levels or rise from here, analysts say. Longer term, unconventional reserves could dampen prices. William Rhode reports

The power of now

A real-time position reporting system is becoming an important tool for large energy trading firms. Sirius Solutions’ Brian Shydlo introduces the concepts, challenges and techniques associated with designing and implementing an RTP solution

Changing times at Centrica Energy

Constantine Vaitsas, Atlas transformation director at CentricaEnergy, describes how his company updated its tradingand risk management systems to meet the challenges of therapidly-shifting energy markets

The shape of things to come

As Australia gears up for its emissions trading scheme in 2010, Anthony Collins of the Australian Securities Exchange examines the country’s emissions profile and looks at how the financial markets supporting the scheme are likely to evolve

Getting IT right

With voluntary carbon markets growing rapidly, registries are springing up to facilitate trade. Many companies, however, have not begun the crucial work of developing such internal systems. William J Scotti of Meradia Group offers some suggestions

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