Energy Trading

• Computational Finance Overview
• Monte Carlo Simulation
• Time-Series Analysis
• Portfolio Optimization and Analysis
• Energy Trading
• Asset Liability Modeling

Using MathWorks tools, you respond to changing demands and operational constraints by developing and adapting models that manage energy assets and build commodity trading strategies. Without leaving MATLAB, you can:

• Import energy data from multiple sources
• Model and analyze data, including time-series data
• Price and value assets, options, and derivatives
• Estimate and model risk
• Deploy algorithms into enterprise architectures

Model and Price Storage Assets

You can model, price, and optimize portfolios of storage contracts and physical assets using prebuilt optimization algorithms in MATLAB that include a variety of solvers—constrained or unconstrained linear, nonlinear, and binary integer—and global methods, such as genetic algorithms and simulated annealing. You can connect to proprietary or third-party commercial optimization routines through the MATLAB application programming interface.

Price Energy Options

Energy contracts involve managing variable amounts of gas or electricity. Constraints on how much of a commodity can be traded make customized contracts such as swing options difficult to value, risk manage, and hedge. You can use the Monte Carlo capabilities and binomial and trinomial tree methods in MATLAB to price contracts, incorporate constraints into risk calculations, and calculate metrics, such as earnings at risk.