In this paper we present a model for the valuation, optimization, market and credit risk management of natural gas storage facilities and associated derivative contracts. A reduced form Markovian term structure model for the gas forward curve is developed and is shown to describe over 98% of the total historical variation of the fluctuations of the Henry Hub Futures curve. This approach facilit...

In this paper, we discuss potential developments of the world natural gas industry at the horizon of 2030. We use the World Gas Model (WGM), a dynamic, strategic representation of world natural gas production, trade, and consumption between 2005 and 2030. We specify a “base case” which defines the business-as-usual assumptions based on forecasts of the world energy markets. We then analyze the ...

• it stores and releases large quantities of heat, freshwater and soluble gases, • heat, freshwater and gas releases are sometimes substantially separated in space and time from their point of storage, due to ocean dynamics and mixing • freshwater and gas fluxes are determined partly by direct and indirect effects of ocean surface temperatures • carbon fluxes, storage and natural sequestration ...

The operations of merchant energy trading in wholesale markets across different locations and current and future dates can be represented as a network where storage and transport trades compete for the capacity of storage and transport assets. We study the tradeoff between storage and transport trading for a network with a single storage asset and multiple transport assets, a realistic situatio...

The valuation of the real option to store natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the hi...