In this paper we study the modeling and computational bene fits of using Lévy processes and the Fast Fourier Transform (FFT) in the valuation of gas storage assets and, from a practitioners perspective, in creating market consistent valuations and hedging portfolios. The valuation methodology...

Quantitative trading in oil based markets are investigated over 2003-2010, with focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data snooping...