Gas Portfolio Optimisation

Gas portfolio optimisation is an area that presents many challenges for energy organisations operating in deregulated markets. The existence of complex contracts including storage and swing are complicated to value and manage.

The operational flexibility and constraints of physical assets impact valuation and risk and have traditionally been difficult to incorporate into modelling frameworks. Furthermore, the uncertainty in prices makes the valuation of gas assets difficult, particularly within an environment of linked physical networks.

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.

By attending this two day course, you will gain a broad overview of different price models and numerical techniques to value and optimise gas portfolios that include storage and swing contracts with their associated physical assets, and how to exercise supply agreements and operate power plants taking into consideration the constraints that affect gas networks.

Learning Outcomes:
- Appropriate methodologies for modelling, implementing and estimating energy price processes
- Various numerical techniques for valuing options
- Key techniques for valuing a portfolio of gas storage contracts
- How to analyse a portfolio of gas swing contracts including key features such as minimum bill make up, carry forward and indexation
- How to maximise the flow of revenues whilst minimising the cost of transportation with respect to all contracts and physical assets under gas network constraints
- Practical demonstration of leading models developed by Lacima