Posts on Gas Markets

In this blog we report on a backtest of a stochastic programming model for gas storage valuation in a real trading situation and show how it outperforms a rolling intrinsic strategy.

Spot-based valuation of a storage for natural gas over the course of one year. Model prices as one-factor model. Learn how to approximate storage value and delta positions.

Learn how to calculate the extrinsic value of storage when using an empirical model of term structure dynamics.