This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities....

This paper addresses minimum-variance hedging of European contingent claims (ECC) in the case where changes to the hedging portfolio can be made only at discrete, pre-decided times. A simple derivation of the minimum-variance hedging strategy is first given in a general setting. The strategy is...