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SUMMARY:CCA and SIAM-IMA Mathematics  Industrial Seminars - NATURAL GAS ST
 ORAGE ASSET VALUATION - A PRACTITIONERS GUIDE - Robert Doubble\, BP
DTSTART:20161129T160000Z
DTEND:20161129T170000Z
UID:TALK69327@talks.cam.ac.uk
CONTACT:Meglena Slavova
DESCRIPTION:In this talk we provide a whistle-stop tour of BP Supply & Tra
 ding's commercial activity in the global energy and commodities markets\, 
 before giving an overview of the four analytics disciplines that reside wi
 thin the trading organisation\, and quantitative analytics in particular. 
 \n\nWe then proceed to dive into a single valuation example\, that of natu
 ral gas storage assets\, where we consider how best to determine the value
  of such a facility from a financial derivatives perspective\, taking into
  account a stochastic term structure model of the gas price curve\, and th
 e engineering constraints of the asset. \n\nWe focus our attention on solu
 tions drawn from the field of Stochastic Control and seek to determine adm
 issible exercise policies that maximize the expected financial value. We c
 onsider lattice based\, Monte Carlo and Quantization methods for this purp
 ose. \n\nThroughout our talk there is a strong emphasis on what is require
 d for these models to be practicable in a fast-paced commercial environmen
 t\, where robust valuations\, stable option Greeks and speed of computatio
 n are critical. \n\nAlso discussed is the challenge presented by sparse da
 ta sets for model calibration\, and some approaches we employ to assess th
 e impact of transaction costs and hedging frequency on the financial value
  that might be captured by the commercial teams managing the risk exposure
 .\n\nAll are welcome\, refreshments included.
LOCATION:CMS Meeting Room 14
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