Gas Portfolio Optimisation

For an energy organisation operating in a real-world environment of interconnected gas networks with a host of physical asset types and contracts, failure to optimise financial and physical assets jointly can lead to sub optimal decisions being made.

You will learn different price models and techniques to value and optimise gas portfolios that include storage and swing contracts with physical assets, and how to operate power plants taking into consideration the constraints that affect gas networks.

This course can be tailored to your needs. A sample outline is shown below.

Day 1


Modelling approaches for gas portfolios

  • Single-factor models
  • Regime switching
  • Multi-factor models
  • Parameter estimation

Overview of numerical techniques

  • Analytical approximations
  • Monte-Carlo simulation
  • Trinomial trees
  • Implied trees
  • Least squares Monte-Carlo

Workshop: calibrating models and implementing Monte Carlo simulations

  • How to estimate mean reversion parameters
  • How to estimate jump parameters
  • How to estimate spot volatility
  • Implementing Monte-Carlo for mean reverting models
  • Implementing antithetic techniques


Detailed analysis of swing contracts

  • Minimum bill
  • Make-up and carry forward
  • Rolling constraints
  • Annual contract quantities/daily contract quantities
  • Indexation
  • Incorporating extra dimensions in the tree

Valuation and risk management

  • How to calculate deltas of swing contracts
  • Hedging strategies
  • How to analyse cash flow distributions for hedged and un-hedged positions

Workshop: valuation of swing contracts


Day 2


Comparison of storage valuation methodologies

  • Intrinsic
  • Rolling intrinsic
  • Portfolio of calendar spread options
  • Tree based stochastic dynamic programming
  • Least squares Monte-Carlo

Detailed examples:

  • Intrinsic
  • Simulation of forward curves in single-factor and multi-factor
  • Rolling intrinsic

Workshop: valuing storage using intrinsic and rolling intrinsic methodologies


Gas portfolio optimisation: financial and physical

  • Challenges in global optimisation
  • Gas networks, pipelines and storage facilities
  • Linear programming solutions
  • Graph theory
  • Maximum flow/minimum cost algorithms
  • Adding time components for swing and storage
  • Practical examples - networks of gas supply, pipelines, storage and power plants

Workshop: solving a gas network problem by implementing a minimum cost algorithm

To discuss your in-house course requirements, contact us.