Basis at 10/23/06 San Juan Producer Energy Hedging Producer is naturally LONG natural gas naturally LONG basis Assume: Producer pumps natual gas 100,000 mmbtuus per day translate in HH contracts 10 Time Nov-07 Nov-08 366 days Nov-08 Future $6.7600 Po
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Curves, Curves, Curves
1
What is a Forward Curve ?
A forward curve is defined as
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Generation Risk Management and Assets as Options
1
Objectives of Risk Management
Producer Asian Options and Vol Spreads FINC 782: Professor McNew
Producer Hedging Using Costless Collars See file costlesscollar.xls 07 Nov 06
1
Producer Asian Options and Vol Spreads FINC 782: Professor McNew
Why Use an Asian Option for Producer
FINC 782: Energy Risk Management AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Credit Derivatives
Growth in Credit Derivatives Market
British Bankers Association Survey Cr
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Cash Flow at Risk
1
Risk Management
Risk Management
Corporates
Commodity Risk
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Weather Derivatives
01 Dec 2004
1
Weather Derivatives
Weather Risk is the uncert
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Spring 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Value at Risk
1
Rationale for VAR Closed Form VAR Monte Carlo Simulatio
Spark-Spread Option Pricing
Mike Trobaugh
November 16, 2006
Entegra Power Group LLC
Formed in June 2005 Assets owned
Gila River Power Station south of Phoenix Union Power Station in El Dorado, Arkansas TransUnion gas pipeline Largest natural
FINC 782 Energy Markets Portfolio Analysis: Fall 2007
Professor Leslie McNew, Finance, AB Freeman School of Business Tuesday/Thursday; Trading Center Room M119: 2:30-3:45 pm 504-865-5036 lmcnew@tulane.edu Executive Summary: This class focuses on the
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Options, Exotic Options, Model Risk, Pricing
1
What is an Option?
An OPTION give
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Natural Gas Risk Management Fall 2007
Natural Gas Measurement
British Thermal Uni
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Natural Gas Market Basics Fall 2007
1
Overview Natural Gas is a Non-renewable Res
FINC 782: Energy Markets Portfolio Analysis AB Freeman School of Business, Tulane University, New Orleans, Fall 2007 Leslie McNew Email at Lmcnew@tulane.edu 865-5036
Power Basics
1
Physical Power
Background Forecast Pricing Transmission
2
Ba
collar
Costless collar - long call, short put
Call/put Asset price ( S ) Strike price ( X ) Time to maturity ( T ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Value Option sensitivities Delta D Elasticity L Gamma G Vega Theta Q Rho r