How can you be sure that your model is correct?
It's not, it's ignoring forward prices, cycle losses, wrong spot price model etc etc
The worst thing is the claim that he's here to rescue dumb companies who have been operating these $100smln storages for decades. What an arrogance!
1) Forward prices are not ignored, as I mention, users can calibrate the model themselves (so that the spot converges in expectation under Q-measure to the forwards).
2) What do you mean by cycle losses?
3) Spot model is not too much wrong. Interestingly, for its simplicity it gives sufficiently good results.
And yes, I have created a better model (here is QQ-Plot: http://yetanotherquant.com/fig5b.pdf
) but it is proprietary.
>here to rescue dumb companies who have been operating these $100smln storages for decades. What an arrogance!
That shows that you have keine Ahnung
(no idea) about German energy market (what an ignorance!).
First of all, big players (E.On, RWE, EnBW) are indeed not so far from bankruptcy.
Secondly, my model can be useful for medium and small companies like Stadtwerke
, they may need (virtual) storage but (with a few exceptions) don't possess the quantitative know-how.