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CATEGORIES:Maths Knowledge Transfer
SUMMARY:CCA and SIAM-IMA Mathematics Industrial Seminars
- NATURAL GAS STORAGE ASSET VALUATION - A PRACTITI
ONERS GUIDE - Robert Doubble\, BP
DTSTART;TZID=Europe/London:20161129T160000
DTEND;TZID=Europe/London:20161129T170000
UID:TALK69327AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/69327
DESCRIPTION:In this talk we provide a whistle-stop tour of BP
Supply & Trading's commercial activity in the glob
al energy and commodities markets\, before giving
an overview of the four analytics disciplines that
reside within the trading organisation\, and quan
titative analytics in particular. \n\nWe then proc
eed to dive into a single valuation example\, that
of natural gas storage assets\, where we consider
how best to determine the value of such a facilit
y from a financial derivatives perspective\, takin
g into account a stochastic term structure model o
f the gas price curve\, and the engineering constr
aints of the asset. \n\nWe focus our attention on
solutions drawn from the field of Stochastic Contr
ol and seek to determine admissible exercise polic
ies that maximize the expected financial value. We
consider lattice based\, Monte Carlo and Quantiza
tion methods for this purpose. \n\nThroughout our
talk there is a strong emphasis on what is require
d for these models to be practicable in a fast-pac
ed commercial environment\, where robust valuation
s\, stable option Greeks and speed of computation
are critical. \n\nAlso discussed is the challenge
presented by sparse data sets for model calibratio
n\, and some approaches we employ to assess the im
pact of transaction costs and hedging frequency on
the financial value that might be captured by the
commercial teams managing the risk exposure.\n\nA
ll are welcome\, refreshments included.
LOCATION:CMS Meeting Room 14
CONTACT:Meglena Slavova
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