Oil and Gas

We work alongside the front and middle offices of national oil companies, major independent and commercial oil companies and petrochemical producers to unlock value from the oil and gas markets. We provide quantitative analysis tools coupled with an integrated knowledge base of energy market value drivers and risks.

We help our clients unlock value by:

  • Performing rigorous, independent and unbiased economic analysis of projects and large contracts, with an evaluation of relationships between risk and return
  • Identifying and capitalizing on locked-in arbitrage opportunities in the oil market through storage and financial hedging
  • Optimization of gas procurement for retailers, taking advantage of the liquid futures markets, while leveraging the volume flexibility offered by long-term supply contracts
  • Dynamic gas and oil storage optimization using a trader-intuitive approach
  • Refinery margins optimization using a combination of financial instruments
  • Assisting with due diligence in preparing for an acquisition
  • Designing and implementing effective and understandable energy hedging strategies that fit the unique need of each client

We use our quantitative and qualitative expertise and in-depth knowledge of the energy markets to assist our oil and gas clients in measuring and managing their energy risk. We help design and implement strategies that subscribe to a well-structured framework, based on their risk tolerance and corporate risk policy objectives.
 
Click below to learn more about some featured delivered projects.

Optimizing a refiner's margins
This scenario-based analysis enables a refiner to build an optimal hedging structure using a combination of futures, options and naked positions.
Optimizing gas procurement for a retailer
This is a risk-return comparative analysis for different alternatives in gas procurement that suggests optimal portfolio allocation between these alternatives, while simultaneously indicating the best times to source gas during the year and their corresponding optimal volumes.
Three procurement strategies for a large consumer
This involves the presentation and discussion of three procurement strategies for a large energy consumer.
Real-time flow of commodity
This is a data visualization application that allows a large commodity trader with physical positions in gas, coal and oil to keep a real-time overview of their commodity movements on an interactive and zoom-able world map.
Fitting a volatility curve for a gas trader
This is a methodology and an application that allows the front office to calibrate their volatility parameters based on historical forward curves. The application renders a 3-dimensional representation of historical gas forward curves and a calibration using HJM 2-factor model.

We selected a range of software implemented in our oil and gas client businesses and reproduced demo versions that, whilst offering minimal functionality, indicated the implemented solution using interactive real-time computations in the cloud.

 
Click below to learn more about these solutions.

Optimizing refinery margins
This interactive online application utilizes your data, such as crack-spread forward curve, ATM call and put option premiums, and simulates futures spot prices. It allows you to make decisions on a hedging scheme that maximizes expected revenues, given a level of risk.
Refinery margins optimizer
Fitting volatility curve
This interactive online application uses your data, such as historical forward curves and seasonality partitions. The application renders a 3-dimensional representation of historical forward curves and then calibrates model-implied volatilities to historical ones.
Volatility calibrator
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