We discuss the problem of hedging between the natural gas and electric power markets. Based on multiple forecasts for natural gas prices, natural gas demand, and electricity prices, a stochastic optimization model advises a decision maker on when to buy or sell natural gas and when to transform gas into electricity. Larger models are solved using Benders decomposition and Lagrangian relaxation. The resulting solution can be further refined using branch-and-bound. Possible future extensions will be presented.