Gas storage and swing contracts

In-house Training course GAS

KYOS organizes a practical training course about flexibility instruments in the natural gas market, focusing on gas storage, swing and take-or-pay contracts. The purpose of the course is to provide a better understanding of the value drivers, risk factors, portfolio management, trading and hedging strategies. Particular attention will go to intrinsic versus extrinsic valuation, applying concepts such as rolling intrinsic, real options, and least-squares Monte Carlo.

An important concept in the training course on gas storage and swing contracts is the dynamic hedging of the exposures, based on either (rolling) intrinsic or delta hedging. The course provides a thorough understanding of the calibration of statistical market parameters (volatility, correlations, mean-reversion, cointegration) as well as backtesting.

 

In the course we will study how gas storage and swing contracts fit into a company’s gas portfolio. You will learn how to value the instruments, and how to optimally manage them in a portfolio, and develop trading and hedging strategies around them. The course concepts can be applied to a range of different storage assets, including time-varying costs, time-varying injections and withdrawals, volume-dependent injections and withdrawals, optional rates, etc. They can also be applied to all sorts of flexible gas contracts, featuring for example gas spot and forward indexation, indexation to other commodities, penalty structures, period quantity constraints, make-up and carry-forward rights.

Course leader: Cyriel de Jong

For the major companies in Europe, Cyriel has led a great number of projects related to energy market valuation, risk management, trading strategies and investment analysis. He is particularly active in price modelling, financial methodologies to value energy assets and contracts, and in stochastic optimization.

Cyriel completed his MSc. in Econometrics at Maastricht University, and finished his Ph.D. on financial derivatives at Erasmus University Rotterdam in 2003.

Who should attend?

The training course on gas storage and swing contracts attracts a wide range of people active in the energy and financial sector, including energy traders, asset developers, portfolio and risk managers, energy market analysts, regulators and consultants. The course does not require any specific pre-knowledge. The instructor is used to present technical details in an intuitive manner, both appealing to quantitative and non-quantitative people.

Book training course on gas storage and swing contracts

Typically the course lasts two days, but of course the content can be modified to suit your particular needs!

Minimum number of participants: 6

Please contact us to discuss your wishes
Book now

Venue

In-house

When

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