1. La Nina: A milder than average winter is forecast, with bursts of cold air in the N.E.2. Inventory: With 3.536 Tcf in the ground there's no fear of a "stock-out".

<t>I've never had the time to investigate this, but have thought about it for nearly a decade. It's an appealing idea. The closest approach to the one you're describing that I've seen is by the chaps at Evolutionary Finance. Bartholomew Dowling put out a book by that title in 2005 explaining it, tho...

Herve, send me a private message. I may be able to help you find something OTC.

<t>If you lookHere you'll find an explanation of gold lease rates in the context of a discussion about Placer Dome's "hedging" book. It's really no different from interest rate parity, as was pointed out below. Pick up Culp's Risk Transfer and you'll find a reference to the more general theory of co...

<t>That $5 figure falls out from an estimate of ethanol prices, ethanol refinery economics, and ethanol subsidies. It's a reasonable number, in my view, with a few caveats, among them the perennial agricultural concerns about weather conditions and yields. Of interest lately has been the narrowing s...

The obvious answer is asset investment decisions - but that's really about taking an out of consensus view on "fundamental " drivers. All other uses leave you with Mark To Model risk of one kind or another, which presumably is at the root of your question.

Does it matter whether he was on the right side of the Amaranth trade? I'd say it doesn't. Nat gas is famous as a market that persistently stays silly longer than most participants stay solvent. Hats off to Hunter.

The ETF or a fully funded spread bet is the obvious way to do it, with the ETF being more comfortable for most.

I looked at this problem a few years ago, but the project that required the model was dropped.I'd be interested if anyone's got a paper reference, or a simple knock up in Excel. The dimensionality of the problem made it tricky (at least the version I was looking at) to do quickly.

westwood - could you post a link to the paper and slides, or upload it here? I'd like to read it.

<t>QuoteThere are very limited storage possibilities for gas, so the old formula coupling today's spot with forward price is not so easy to interpret.Well, yes, but it's still conceptually valid and I would argue gives you the correct interpretation for this winter's dynamics if constructed properly...

<t>Matt F - you assume the Chinese have the copper, and can get it to the warehouses in time. There is much doubt about whether the SRB has anything like 1.3m tonnes.Also, they may have been unwinding and rolling some of the position before this story broke in the general press, i.e. Dec 21st may no...

<t>Err...the supply problems from the Russians in 2001...well, sort of...Look at Ford's annual reports for 2000, 2001, and 2002...whoops...they were convinced by, erm...someone, to buy because of this supply problem in Russia, which conveniently disappeared once they'd bought more or less at the pea...

I'm with sgelb on this one - very tricky, if not impossible, exercise.

<t>That's very much a function of the cost structure of the unit (heat rate, the moniness of the option as it were). Kirk has very clear biases relative to the exact BS price. With computing speed cheap, you should be able to use a Green's Function spread option pricer for most valuations. All that ...