The last two, Summer 99 and 00, were with Enron. These portfolios are composed of equity and interest rate sensitive instruments. It involved simulations, lots of statistical analysis etc. All models were implemented using a combination of Visual Basic, C, and Excel. I wrote a Visual Basic for Excel program which prices Gas Daily, Pipe, and Peaking options.
All models assume log-normal distribution of spot prices.
I am also involved in hedge management and position tracking projects for energy marketing companies.