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9.00–9.30 Registration and coffee

9.30–9.40 Chairman Dr. Steve Lawford
opens the conference

Chairman Dr. Steve Lawford
Steve Lawford is Visiting Professor at the Center for Operations Research and Econometrics (CORE) and the European Centre for Advanced Research in Economics and Statistics (ECARES). He has degrees from Exeter, Cambridge and York, specializing in econometric theory. He has held academic positions in Brussels and London, and was until recently with the Strategy, Research and Development group at Electrabel.

SPOT AND FORWARD PRICE MODELLING

9.40–10.25 Forecasting spot and forward
electricity prices: Semi-parametric time
series models

• Overview of modeling approaches
• Autoregression (AR) models and their extensions:
  exogenous variables, non-linear time series, non-
  Gaussian innovations, semi-parametric models
• Error measures and model calibration
• Principal components analysis (PCA) vs. dynamic
  semi-parametric factor modeling (DSFM) of electricity
  forward curves

Dr. Rafal Weron, Wroclaw University of Technology
Rafal Weron currently holds a position of Assistant  Professor at Wroclaw University of Technology (WUT). He received his PhD in applied mathematics from WUT in 1999. His research focuses on risk management and forecasting in the power markets and computational statistics as applied to finance and insurance.

10.25–10.45 Coffee and tea

10.45–11.30 Case Study: A stochastic model for  simulating electricity prices 5–10 years into the future based on supply-demand considerations

• Volatile electricity prices
• Need for estimates of prices over at least the first
  10 years of operations
• Electricity market data (day-ahead prices, and futures
  & forwards) only for first few years
• Models for predicting and simulating prices out over the next 5–10 years

Professors Alain Galli and Margaret Armstrong, CERNA
Ecole des Mines de Paris
Alain Galli and Margaret Armstrong founded the quantitative finance group at the Ecole des Mines de  Paris in 2001 and are now in charge of the quantitative finance major there. Prior to this both worked for many  years on stochastic modelling of natural resources.

11.30–12.15 Forward curve decomposition: the interplay between seasonality, common time factor, and term premium

• One-step estimation of the three different components of the forward curve
• Impact of assumptions on seasonality on term premium and vice versa
• Empirical results on two different electricity markets

Dr. Dominique Dupont, University of Twente
Before joining the University of Twente in 2002,  Dominique Dupont worked at the Federal Reserve Board  In Washington D.C. He holds a Ph.D. in economics from the University of Chicago and an M.B.A. from theHEC  school of Management. His current research centres on modelling derivatives on energy, in particular on  electricity. He also coordinates the Financial Engineering program within the School of Management and Governance of the University of Twente. This is a joint work with Alexander Boogert, Essent Energy Trading.

12.15–13.15 Lunch

GAS STORAGE, LNG AND
FUEL PRICE MODELLING

13.15–14.15 Keynote speaker Commodities Outlook: Panics, spikes and rallies

• The crucial role of volumes in explaining volatility in
  commodity markets
• Inventory and shape of the forward curve
• The particular case of crude oil in the recent period
• Correlations between oil and gas spot and forward
  prices
• Seasonal and Stochastic effects in natural gas markets
• Investing in commodity indexes: choosing the basket, the weights and the optimal roll yield

Professor Hélyette Geman, Birkbeck, University of London
and ESSEC Business School.
Hélyette Geman is a graduate from Ecole Normale  Supérieure, holds a master’s degree in theoretical  physics and a Ph.D. in mathematics and a Ph.D. in Finance. Previously a Director at Caisse des Dépôts in charge of Research and Development, she is currently a scientific adviser for major energy companies. Her  research includes pioneering work on exotic options,  catastrophic risk and energy derivatives. She was named in 2004 in the Hall of Fame of Energy Risk and is a Member of the Board of the UBS-Bloomberg Commodity Index and author of the reference book “Commodities and Commodity Derivatives.

14.15–14.45 Coffee and tea

14.45–15.30 Case Study: An introduction
to the valuation and trading of gas-storage
in the UK natural gas market

• Purpose of storage and sources of value
• Modelling requirements and available methods
• EDFT valuation method
• Typical storage usage
• Trading: re-hedging after exercise
• Market vs. model risk

Dr. Lionel Greene, EDF Trading
Lionel Greene is Head of Structured Derivatives & Options trading at EDF Energy Merchants. He received a PhD in civil engineering from Leeds University before moving into finance. He later became a structured derivatives trader  at various other financial institutions. His interests include quantitative finance/econophysics and quantitative statistical arbitrage.

15.30–16.15 Case Study: Atlantic basin LNG price  arbitrage

Karl Petter Wærn, Statoil ASA
Karl Petter Waern is a project manager at Statoil, focusing on international LNG business development in the Atlantic basin. Before joining Statoil, he was an acting director of the Energy Charter, Brussels. Prior positions include managing gas pipeline and gas storage joint ventures. He holds a graduate degree in financial economics, specialization financial derivatives and has held an assistant professorship at the Royal Norwegian Naval Academy.

16.15–16.30 Questions

19.00 Conference dinner

RISK MANAGEMENT

9.00–9.45 Managing the risk of trading
emissions on electricity prices

• Electricity price spikes in relation to price emissions
• How fuel prices affect the merit order and the
  marginal unit
• How do the spark and dark spreads behave?
• What is the appropriate VaR?

Dr. Juan Toro, Instituto de Empresa Business School
Juan Toro holds a PhD from European University Institute and is currently the Managing Director of Transmarket Iberia S.L. and the Research Director for TMG, focusing on the global government bond and equity markets. He is also an academic at Instuto de Empresa (Madrid). Prior to this he held various positions at London School of Business, the Brazilian Ministry of Finance, Fundacion CENTRA and Oxford University.

09.45–10.30 Case Study: Managing supply contracts

• Optimal swing option design
• Numerical valuation: issues and solutions
• Structuring the price area for an efficient risk management

Dr. Olivier Bardou, Gaz de France
Olivier Bardou is a Project Manager in Gaz de France’s Research and Development Division and in charge of developing valuation software and investment methodologies for the operational divisions of the group.
He holds a PhD in numerical probability from Nice-Sophia
Antipolis University and lectures on energy markets at
masters level at Paris VI University.

10.30–11.00 Coffee and tea

11.00–11.45 Case Study: A model for long horizon spot fuel price simulation

• Spot price simulation over a 5-year horizon
• Oil, gas, coal and CO2 prices
• Co-integration techniques
• Long horizon risk assessment using Cash-Flow-at-Risk

Dr. Allan Bødskov Andersen, DONG Energy
Allan Bødskov Andersen is currently Senior Quantitative Analyst at DONG Energy. He has extensive experience with price modelling and risk management from  the Danish central bank (Danmarks Nationalbank) and DONG Energy and holds a PhD in financial econometrics.

11.45–12.45 Lunch

DERIVATIVES, OPTION PRICING
AND FO RWARD CURVE
MODELLING

12.45–13.30 Pricing power derivatives in a supply and demand framework

• Electricity spot price modelling using a bid stack
  approach
• Choosing underlying drivers and incorporating
  gas prices
• Pricing forwards and calibrating to forward curves
• Empirical results (in US markets)
• Option pricing techniques (calls, puts, spread options)

Michael Coulon, Oxford University
Michael Coulon is currently doing a DPhil (PhD) at Oxford University as part of the Mathematical and Computational Finance Group. Before this, he completed a BSc in Mathematics from Imperial College, London, and a 2-year Master in Finance from Princeton University. He has also worked from short periods in the financial industry at JPMorgan, London, and Goldman Sachs, New York.

13.30–14.00 Coffee and tea

14.00–14.45 Case Study: Risk measurement for energy derivatives

• Risk measures and methodology
• Modelling the spot price process and the forward curves
• Cross commodity correlations
• Forecasting the price and the forward curve shape
• Seasonality of forward curves and volatility term
  structures, and volatility risk

Dr. R einhard Hirsch, d-fine
Reinhard Hirsch is Head of the Energy and Commodity Risk Consulting Business at d-fine GmbH. Prior to this, he was responsible for commodity price risk management, real option based portfolio management and credit risk methodology at Bayer AG and Deutsche Bank AG for more than ten years. Reinhard holds a PhD in theoretical  physics.

14.45–15.30 Case Study: Commodity Spreads

• Market view on geographic and cross-commodity
spreads
• Correlation and spread options

Dale Miller, Electrabel
Dale Miller is an analyst in the Structuring team at  Electrabel Trading & Portfolio Management. His responsibilities include market/portfolio analysis and structured product trading.

15.30–15.40 Questions and Closing of the Conference