Energy markets, in particular crude oil, natural gas and power, have a set of tradeable swaps and options each with characteristic time scales for swap delivery/settlement and option expiration. The time scales associated with such tradables are usually monthly or annual, and in some cases daily. In contrast, structures frequently arise which involve time scales that depart significantly from products that trade. This increases reliance on modeling assumptions and yields unresolved or partially resolved problems, a set of which will be surveyed here. This will include optionality at hourly time scales in power structures, non-standard expiration arising in price holds, and exposure calculations arising in credit and risk capital calculations.
Glen Swindle is a Managing Director and co-head of natural gas and power trading at Credit Suisse in the Energy Marketing and Trading Group. He was previously a Managing Director at Constellation Energy where he ran the strategies group. Prior to this, he worked at Avista Energy in Houston, Westend Capital Management in Bermuda and at CSFB in fixed income arbitrage. He has a Ph.D. in Applied Mathematics from Cornell University, and held tenured positions at the University of California, Santa Barbara and at Cornell University. BS from Caltech in Mechanical Engineering, 1982. MSE from Princeton University in Mechanical Aerospace Engineering, 1985. Ph.D. from Cornell University in Applied Mathematics, 1988.
Speaker: Glen Swindle, Credit Suisse