Technical paper/Gas
Financial performance in electricity and gas markets: some empirical evidence from a cluster analysis
The authors undertake a cluster analysis of energy companies in Italy and the UK for the period 2008-2017.
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
The liquefied natural gas spot market and valuation of the rerouting option
Managing supply chain risk through take-or-pay gas contracts in the presence of buyers’ storage facilities
Parameter variation and the components of natural gas price volatility
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes?
In this study, the authors investigate drivers of merger activity in the oil and gas sector and seek to ascertain how key determinants influence the takeover likelihood of oil and gas companies.
Exploration risk in international oil and gas shareholder returns
This paper focuses upon the oil and gas industry, examining the association between exploration activity risk and company shareholder returns.
Applied risk management series: gas storage valuation strategies
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Classic cutting edge: Swing options and the quest for valuation
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest method, which was influential in the development of pricing…
Model specification analysis in the methanol markets
Research Papers
Russian gas to western Europe: a game-theoretic analysis
Research Papers
Cointegration between gas and power spot prices
Research Papers