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

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.
Type de document :
Pré-publication, Document de travail
2013
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https://hal.inria.fr/hal-00918082
Contributeur : Francesco Russo <>
Soumis le : jeudi 12 décembre 2013 - 21:11:07
Dernière modification le : jeudi 5 janvier 2017 - 01:52:42
Document(s) archivé(s) le : jeudi 13 mars 2014 - 13:40:16

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GasStorageProblem.pdf
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  • HAL Id : hal-00918082, version 1
  • ARXIV : 1312.3789

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Patrick Henaff, Ismail Laachir, Francesco Russo. Gas storage valuation and hedging. A quantification of the model risk.. 2013. 〈hal-00918082〉

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