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by diogenes
June 17th, 2011, 7:36 pm
Forum: Trading Forum
Topic: WTI/Brent Spread Options
Replies: 19
Views: 22827

WTI/Brent Spread Options

Send me a PM.Might be able to hook you up.
by diogenes
May 10th, 2011, 6:20 pm
Forum: Student Forum
Topic: spot vs forward processes in electricity & natural gas
Replies: 3
Views: 19482

spot vs forward processes in electricity & natural gas

<t>Do you need the greeks? The answer to this question will drive which price dynamic model works.Also, estimating parameters in power markets is not the convenient thing to do and even the most complicated of spot models might not have any impact on the final pricing of the asset.Basically, I would...
by diogenes
May 10th, 2011, 6:13 pm
Forum: General Forum
Topic: Measuring performance of traders
Replies: 5
Views: 21597

Measuring performance of traders

Pretty hard to do for the reasons you mentioned.Even more so if there is asset operation behind the trading, which basically deep six'd a lot of traction around coming up with a solution.So, good luck.
by diogenes
April 19th, 2011, 7:43 pm
Forum: Technical Forum
Topic: Pricing Commodity Exotic Options
Replies: 8
Views: 23035

Pricing Commodity Exotic Options

Cool. Basically a good place to start is with Clewlow and Strickland's "A MultiFactor Model for Energy Derivatives". FEA has some white papers that seem to play around with the same idea.I must warn you that parsimony pays off if you are worried about calculating the greeks, too.
by diogenes
April 18th, 2011, 4:58 pm
Forum: Technical Forum
Topic: Pricing Commodity Exotic Options
Replies: 8
Views: 23035

Pricing Commodity Exotic Options

<t>If you are looking for closed form approaches, then there are various papers out there but almost surely no one uses them in practice. However, if you are after simulation based methods, then PCA is a decent start and be modified to fit observed option values. Let me know if this is what you are ...
by diogenes
April 18th, 2011, 2:55 pm
Forum: Technical Forum
Topic: gas storage optimization using CSOs
Replies: 13
Views: 28928

gas storage optimization using CSOs

QuoteOriginally posted by: twI'm also intruiged now. Does anyone know what a reverse CSO is?I always thought that the interesting instrument for gas (or any storage) pricing is a forward start CSO.See my earlier reply
by diogenes
March 28th, 2011, 2:01 pm
Forum: Technical Forum
Topic: gas storage optimization using CSOs
Replies: 13
Views: 28928

gas storage optimization using CSOs

Pretty certain this is just Forward and Backward Optimization.Look for a paper by Joe W. Byers for the LP approach.
by diogenes
March 12th, 2011, 6:57 pm
Forum: Book And Research Paper Forum
Topic: Justin London's New Book
Replies: 76
Views: 130641

Justin London's New Book

<t>QuoteOriginally posted by: MF01 There are two functions used in the swing pricing program ,exercise and merge_updown functions ..I could not find these in the appendix for the chapter, do these exist in the book ?Okay, does anyone have Dorr's code, used in this book, for exercise.m and merge_updo...
by diogenes
February 14th, 2011, 2:34 pm
Forum: Technical Forum
Topic: Forward Start Product Option
Replies: 7
Views: 21580

Forward Start Product Option

@ kim...exactly what I had in mind.@list: 1) i agree, but this is a actually a product with $$ behind it.
by diogenes
February 10th, 2011, 10:23 pm
Forum: Technical Forum
Topic: Forward Start Product Option
Replies: 7
Views: 21580

Forward Start Product Option

Looking at valuing the following payoff (such that t<T):Using something like conditioning on S(t) seems to be the best idea, but open to any others.
by diogenes
August 12th, 2010, 1:57 am
Forum: Technical Forum
Topic: Volatility for potential exposure simulation
Replies: 2
Views: 26178

Volatility for potential exposure simulation

<t>PFE is going to be pretty dirty as it is for power and gas.However, I would not use EWMA and use the historical data with corrections as needed.Keep in mind that if you do PFE over a long time horizon you will need to change your process.I would keep away from Garch etc and in place look at mean-...
by diogenes
August 19th, 2009, 12:45 am
Forum: Numerical Methods Forum
Topic: Numerical integration of a conditional probability
Replies: 0
Views: 36819

Numerical integration of a conditional probability

<t>Basically, I am attempting to compute the expected value of a conditional probability by first numerically integrating and then updating the conditional values etc (mv-normal dist model here). However, given that I am integrating first then computing the conditional values I am not certain that t...
by diogenes
August 1st, 2009, 5:36 pm
Forum: General Forum
Topic: Heat Rate Options
Replies: 25
Views: 88942

Heat Rate Options

QuoteOriginally posted by: rich7804AFAIK ICAP has daily vol quotes not spotYup, good call.
by diogenes
July 28th, 2009, 11:16 pm
Forum: General Forum
Topic: Heat Rate Options
Replies: 25
Views: 88942

Heat Rate Options

<t>QuoteOriginally posted by: rich7804Where do you even get Spot Vols? Are these historical estimates? " if I use a weighted average of forward and spot volatilities for power and gas in simulating the intra-month price paths, the resulting option price is much closer to the market quotes" What kind...
by diogenes
July 26th, 2009, 8:07 pm
Forum: General Forum
Topic: Heat Rate Options
Replies: 25
Views: 88942

Heat Rate Options

<t>Well, how much trust do you have in the spot vols? Generally, either blended or forward vols are good estimates, since spot quotes are going to be very nosiy.Also, pay attention to the impact of correlation, which might lead to a break down in your valuation model. Aside from a Real Option Approa...
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