Technical paper/Natural gas
Renewable energy generation capacity following the Russian invasion of Ukraine, and the stock market performance of energy firms: evidence from southern European Union countries
The authors investigate links between renewable energy investment, natural gas shortages following the Russia-Ukraine conflict and stock market performance of energy firms.
Theory for optimizing capacitated commodity storage with case studies in natural gas
In this paper the author's develop theoretical concepts of optimal injecting and withdrawing for a capacitated commodity storage and give case studies in natural gas.
Forecasting natural gas price trends using random forest and support vector machine classifiers
In this paper, different machine learning approaches are applied to forecasting future yearly price trends in the natural gas Title Transfer Facility market in the Netherlands.
The liquefied natural gas spot market and valuation of the rerouting option
The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting…
Optimal extraction and taxation of strategic natural resources: a differential game approach
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
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…
A real option analysis on retiring existing coal-fired electricity plants in the United States
This paper looks at the conditions under which a reasonable green policy by a US state encourages the early replacement of existing coal plants with new natural gas plants.
A three-factor model on the natural gas forward curve including temperature forecasts
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
On the role of structural breaks in identifying the dynamic conditional linkages between stock and commodity markets
In this paper, the authors explore the time-varying linkages between two strategic commodities covering the energy sector (crude oil and natural gas) and the QE Al Rayan Islamic Index over the period March 15, 2011–December 25, 2014.
The determinants of regime switching in the natural gas and crude oil cointegrating relationship
This paper aims to find determinants of the endogenous regime-switching process underlying the cointegrating relationship between natural gas and crude oil.
An analysis of energy futures
The authors of this study investigate the distributions of returns on crude oil, heating oil and natural gas futures.
The convenience yield implied in the European natural gas markets: the impact of storage and weather
This paper aims to determine the convenience yield implied in the European natural gas markets by investigating driving factors and according dynamics.
Ex post payoffs of a tolling agreement for natural gas-fired generation in Texas
This paper explores the problem of insufficient investment incentives for natural gas-fired generation in the ERCOT.
Electricity futures prices: time-varying sensitivity to fundamentals
This paper looks at the time-varying relation between electricity futures prices and fundamentals.
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation