Preface: It is necessary to thank many people at the end of a big project like writing a book. First, my thanks go to my patient editor Sunil Nair and his editorial assistants Rachel Holt and Sarah Gelson. Two anonymous reviewers made very thorough and useful comments on an earlier manuscript....

In this article we present both a theoretical framework and a solved example for pricing an European gas storage facility and computing the optimal strategy for its operation. As a representative price index we choose the Dutch TTF day-ahead gas price. We present statistical evidence that the...

In the last twenty years a large number of competitive ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at...

Markets where asset prices follow processes with jumps are incomplete and any portfolio hedging against large movements in the price of the underlying asset must include other instruments. The standard approach in literature is to minimize the price variance of the hedging portfolio under a...

In commodity markets, a trader selling her inventory over a finite time horizon has access not only to the spot market but also to forward contracts. The trader has the choice to sell at the spot price, or to short a forward contract for later delivery, or a combination of both. While the...