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I'm looking to learn about gas price modeling, in particular models of forward prices.

I've studied "classical" mathematical finance, fixed income theory etc.

What are good references for stylized facts about gas modeling, successful models and mathematical finance in gas pricing. I am also interested in the estimation part. In all cases particular, but not restricted to forward price modeling.

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up vote 3 down vote accepted

Though not exactly spelling out models for natural gas. For natural gas trading I like the book as it explains a lot about how the industry works, and might help you develop models:

Trading Natural Gas: Cash, Futures, Options and Swaps Hardcover – January 1, 1997 by Fletcher J. Sturm

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For Natgas prices the following factors have correlation: seasonality, weather, inventory draw, pipeline flow data if you can get it. Hope you find R2.

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