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SUMMARY:Natural Gas Storage Asset Valuation - A Practitioners Guide - Robe
 rt Doubble\, IST Quantitative Analytics\, BP Oil International
DTSTART:20161129T160000Z
DTEND:20161129T170000Z
UID:TALK69138@talks.cam.ac.uk
CONTACT:CCA
DESCRIPTION:In this talk we first provide a whistle-stop tour of BP Supply
  & Trading's commercial activity in the global energy and commodities mark
 ets\, before giving an overview of the four analytics disciplines\nthat re
 side within the trading organization\, and quantitative analytics in parti
 cular. We then proceed to dive into a single valuation example\, that of n
 atural gas storage assets\, where we consider how best to determine the va
 lue of such a facility from a\nfinancial derivatives perspective\, taking 
 into account a stochastic term structure model of the gas price curve\, an
 d the engineering constraints of the asset. In doing so we focus our atten
 tion on solutions drawn from the field of Stochastic Control and seek to d
 etermine admissible exercise policies that maximize the expected financial
  value. We consider lattice based\, Monte Carlo and Quantization methods f
 or this purpose. Throughout our talk there is a strong emphasis on what is
  required for these models to be practicable in a fast-paced commercial en
 vironment\, where robust valuations\, stable option Greeks and speed of co
 mputation are critical. Also\ndiscussed is the challenge presented by spar
 se data sets for model calibration\, and some approaches we employ to asse
 ss the impact of transaction costs and hedging frequency on the financial 
 value that might be captured by the commercial teams managing the risk exp
 osure.
LOCATION:MR14
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