Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Paper Review: `Stochastic Models of Natural Gas Prices and applications to Natural Gas Storage Valuation', by Chen and Forsyth
Submitted by jlongwor on Mon, 03/16/2009 - 9:59am.
Mar 19 2009 - 12:00pm
Mar 19 2009 - 12:50pm
Speaker:
Thomas Nedunthally
Location:
MS 325Two one factor models with regime switching are introduced in this paper to mimic the behavior of two-factor models that have been previously developed to model natural gas spot prices. Calibration results for the regime switching model show the ability to capture both the long term and short term dynamics of market futures prices. The calibrated models are then used to price a natural gas storage facility.