Gas storage valuation and hedging. A quantification of the model risk.

Patrick Henaff, Ismail Laachir and Francesco Russo
submitted
Publication type:
Paper in peer-reviewed journals
Journal:
HAL INRIA Preprint 00918082
arXiv:
images/icons/icon_arxiv.png 1312.3789
Keywords :
Energy markets; commodities; natural gas storage; model uncertainty.
Abstract:
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts for the main stylized facts of the US natural gas market, such as seasonality and presence of price spikes. The second aspect of the paper is related to the quantification of model uncertainty related to the spot dynamics.
BibTeX:
@article{Hen-Laa-Rus-2200,
    author={Patrick Henaff and Ismail Laachir and Francesco Russo },
    title={Gas storage valuation and hedging. A quantification of the 
           model risk. },
    journal={HAL INRIA Preprint 00918082 },
    year={submitted },
    month={12},
}