Market risk
Crunching the numbers
Advances in analytical tools, coupled with a proposed December Ferc ruling requiring US gas providers to publish gas flow data, could herald a revolution in US natural gas trading. Algorithmic trading techniques, similar to the kinds used in the equity…
Implied trees: Valuing exotic options
In this next installment of the Masterclass series, Jim Clark, Les Clewlow and Chris Strickland show how to value exotic options, using a calibrated local volatility surface consistent with market prices
Where to next for gas prices?
US natural gas markets can be tricky to predict, as recent high-profile losses in these markets have shown. However, there are some aspects of price behaviour that are more uniform than might be imagined, writes David Linton of Updata
Valid Assumptions Required: backtesting
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
The outlook for US gas
US natural gas prices, which have fallen by 30% recently, are expected to stabilise at current levels or rise from here, analysts say. Longer term, unconventional reserves could dampen prices. William Rhode reports
The power of now
A real-time position reporting system is becoming an important tool for large energy trading firms. Sirius Solutions’ Brian Shydlo introduces the concepts, challenges and techniques associated with designing and implementing an RTP solution
Changing times at Centrica Energy
Constantine Vaitsas, Atlas transformation director at CentricaEnergy, describes how his company updated its tradingand risk management systems to meet the challenges of therapidly-shifting energy markets
Minor metals to make LME debut
Futures contracts for minor metals molybdenum and cobalt will be launched on the London Metal Exchange (LME) in the second half of 2009, the LME has announced today.
Icap to broker base metals on the LME
Interdealer broker Icap has launched a London Metals Exchange (LME) base metals broking business.
Tullett Prebon combines voice and screen trading for energy markets
Interdealer broker Tullett Prebon has introduced an internet trading platform for the Ontario power market and both the Western US and Canadian gas markets that combines voice and electronic brokering.
RGGI futures competition hots up
As the fledgling US Regional Greenhouse Gas Initiative finds its feet, is there sufficient liquidity for two exchange-traded futures contracts? Katie Holliday finds out. Additional reporting by Roderick Bruce
Power struggle
Forward liquidity has been lacking in the UK power market since 2002, and attempts to improve the situation have met with little success. Roderick Bruce considers what the future may hold for UK power trading
MF Global establishes nuclear trading desk
Broker MF Global has set up its first nuclear fuel trading desk. Based in London, the new desk will provide the primary nuclear fuel market with a forum for the sale and purchase of physical uranium oxides, as well as a suite of uranium price hedging and…
Braemar and Tullett Prebon form FFA broking team
UK-based shipping company Braemar Seascope and global inter-dealer broker Tullett Prebon have initiated a joint-venture to concentrate on broking forward freight agreements (FFAs).
Special Report: Energy-intensive corporations
The impact of fuel costs on the bottom line of energy-intensive companies has grown steadily over recent years, but when the price of crude oil spiked to $147 a barrel in mid-July, even the world’s largest industrial corporations began to feel the pinch.
Evolution launches catastrophe derivatives division
Environmental brokerage firm Evolution Markets has introduced a brokerage and transaction service to focus on the catastrophe derivatives market.
DME sells equity stake to trading firms
The Dubai Mercantile Exchange (DME) has concluded the sale of a 20% equity stake in the exchange to six global financial institutions and energy trading firms.
Market focus
Northern Europe’s power generation fleet is set to undergo drastic changes going into the next decade due to regulation and retirements. Point Carbon analysts Paulo Homen Cristo and Mauricio Bermudez-Neubauer outline the potential impacts these factors…
Calibrating trees to the market prices of options
How trinomial trees can be used to calibrate a local volatility model tothe market prices of average price options. By Jim Clark, Les Clewlowand Chris Strickland
Where to now?
Is risk management improving? Are thegas markets safe? Where are oil pricesgoing? Respondents give their opinionsin a survey conducted at Energy RiskUSA. Katie Holliday reports