Zug, Zug, Switzerland
Commodities Trader || Power ⚡ || Gas 🔥|| Carbon ☁️
- Prop trading on European Power Gas and Carbon markets based on Fundamentals and TA.
- Prop trading on European Power, Gas and Carbon markets. - Quantitative and technical analysis approach for creating successful trading strategies. - Cooperation with Analytics department for creating in house trading tools.
- Building from scratch Ego’ prop trading desk - Proprietary Trading on Power, Gas and Carbon markets - Quantitative Analysis - Pricing of structured Products for managing long term PPAs
- Prop trading activities on European Power (FR, IT, DE, CH) and gas markets (TTF, PSV), - Hedging activities and risk management for the sales department, - Pricing and Bidding of capacity auctions and trading around the purchased capacities, - Development of analytical tools to analyze fundamentals on both power and gas markets, - Emission trading activities, - Building automatic templates to analyze fundamentals and estimate prices on European power market.
• Time series analysis of spot, forward prices and fundamentals in European Power and Gas markets, • Building Gas and Power Forward Curve in order to do daily quotation for the sales department, • Automatic calculation of VAR for Power and Gas positions using monte carlo simulations (Geometric Brownian Motion, Jump Diffusion Model, Heston Model), • Automatic Storage’ Injection and withdrawals optimization, intrinsic and extrinsic valuation, • Calibration econometric models, in order to forecast short term prices (Day Ahead and Month Ahead) in gas (TTF, PSV, NCG, VTP) and power markets (PWNXT, EEX, IT), • Modelling interconnection capacity auctions as options Fr/De, Fr/It, Ch/It and trading around the purchased capacities, • Trading strategies development: directional, time and location spread in power and gas markets and strategies on the Italian Clean Spark Spread, • Daily reports of Power and Gas markets: forward prices, spread tendency (Clean Spark Spread, Dark Spread), fundamentals analysis.
• Creation and managing database in order to organize time series, • Time series analysis of spot forward prices and fundamentals in European Gas markets, • Calibration of autoregressive models (ARMA-X, SARMA, VAR) in order to forecast short term prices (Day-Ahead, Month-Ahead) of european gas hubs (TTF, PSV, NCG, VTP), • Storage valuation as real option: intrinsic and extrinsic value, • Monitoring gas portfolio: P&L, Fair Value and Mark to Market, • Daily report of natural gas: spot and forward price tendency, location and time spread, monitoring all the pipelines interconnected with Italy, storage and gas consumptions in the Italian system.