Natural Gas Storage Valuation and Hedging

Event Details
  • Date/Time:
    • Friday September 26, 2008 - Saturday September 27, 2008
      11:00 am - 11:59 am
  • Location: Executive Classroom 228
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Anita Race
H. Milton Stewart School of Industrial and Systems Engineering
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Summary Sentence: Natural Gas Storage Valuation and Hedging

Full Summary: Natural Gas Storage Valuation and Hedging

TITLE: Natural Gas Storage Valuation and Hedging

SPEAKER: Dr. Zimin Lu
Head of Quantitative Research
Financial Products, BP Energy Company


There are three value buckets for a storage asset holder: a) Winter-Summer spreads due to demand seasonality; b)Monthly injection/withdrawal optionalities; c) Intra-month inventory optionalities. The valuation problem involves both derivative pricing and financial operations. I will discuss an approach based on the constrained portfolio optimization of time spread options.

Dr. Zimin Lu is currently the head of Quantitative Research for North America Gas and Power, BP Energy Company in Houston. His energy quantitative finance experience includes Vice President at Deutsche Bank in New York; Vice President of Research & Analysis at Suez North America; Director at Enron Research and Quantitative Analyst at TXU Energy.

He earned his Ph.D. in Physics from Drexel University and B.S. from Nanjing University. He worked for University of Oregon and Princeton University during the transition from academia to energy industry.

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In Campus Calendar

School of Industrial and Systems Engineering (ISYE)

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optimization, storage
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Oct 12, 2009 - 4:38pm
  • Last Updated: Oct 7, 2016 - 9:47pm