<t>Natural gas in UK , for example, is delivered at what is called a balancing point, which is any node on the gas distribution network in UK. Electricity in UK, is delivered into the grid. Rarely, traders would take the delivery and typically the trades end up being closed before the delivery( as a...

i think Energy Risk by Dragana Pilipovic might be helpful. i am not sure if you are asking for a readymade code - i dont know if the book has it - but it is an excellent resource for understanding energy risk management.Hope this helps.Regards,MF

Thank You all for the replies. I think IB and OANDA seem to be better brokers compared to others.

<r>yuryr - Do you have any experience with trading fx ? There are some who allegedly do provide access to interbank fx rates ( which is as close a market acces as one can get in fx) with the benefit of lower pip spreads, like the interactivebrokers, <URL url="http://www.interactivebrokers.com">www.i...

<t>Hi All,Could people here please share their experiences with retail forex platforms/brokers from their experience. Naturallly, any good or bad experience would be helpful to make a decision in regards to the trustworthiness of these companies, in which some are out there to take money blatantly.I...

<t> MCarreira, Many Thanks for the reply.I read the Clewlow - Strickland and derived the equations which I think are consistent with my problem, but just in the first time step I get a long term mean price level of 0.75 ,which looks wrong. Given that the mean price at that step is 32.Please, any ide...

Come on please, somone must have implemented this before. I spent a long time on this and seem to have hit the wall. Please couldn't anyone help me on this one.

<t>Hi,Please could someone let me know of a book or a paper that explains the calibration of a mean reverting trinomial tree to the forward price and the volatility term structures applied in the energy markets. There is lot of information on such techniques for interest rate markets . I read the Hu...

Thanks AVt... I would take your suggestion !!

AVt,why do you scale the delta by multiplying it with "t". Is it the actual variance of , say prices, that you are modelling.I read somewhere, the variance of NIG is : delta * alpha^2 /(alpha^2 - beta^2)^(3/2)Please help me clear the confusion .Thanks.

Hi All,I am writing code to develop a multinomial tree for NIG process, does any one know how I could estimate the risk neutral transition densities at each node. Thanks.MF

Try using the Kalman filter method...I haven't used it but I think this is used elsewhere for estimation of jump diffusion models.

"Energy Derivatives - Pricing and Risk Management" by Clewlow and Strickland and "Energy Risk - Valuing and Managing Energy Derivatives " by Pilipovic are two very good books on commodities markets.

I would go with RiskCapital's suggestion.