Abstract

GARCIA-PEREZ, Luis Enrique; ORTIZ ARANGO, Francisco  and  CRUZ AKE, Salvador. Feasibility of introducing natural gas derivatives contracts in the Mexican Derivatives Market: A Hubbert-Gray approach. Rev. mex. econ. finanz [online]. 2021, vol.16, n.1, e479.  Epub May 06, 2021. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i1.479.

After the enactment of the 2013 energy reform in Mexico, the possibility of incorporating natural gas derivative contracts into the Mexican Derivatives Market (MexDer) was opened. This research examines the feasibility of introducing natural gas derivative contracts in the MexDer. For this, we use the Hubert model to calculate the projection of the natural gas supply, and the demand projection is obtained through a novel combination of the Gray and the Vasicek models. Subsequently, employing Monte Carlo simulation, we calculate the premiums of a futures contract and a contract of the European options over the price of natural gas, both were designed according to the regulations of the MexDer. The results obtained show that at the moment such contracts are not viable, mainly due to the small volume of possible hedging contracts, the foregoing constitutes a relevant result for the country's finances, given that the Mexican government currently only contracts oil hedges in markets of foreign derivatives.

Keywords : Energy reform; natural gas; derivative contracts; MEXDER.

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