Cross Commodity Modelling & Emerging Markets
15-16 May 2008, Oslo

 

Course Content

This is a new advanced Master Course targeted to train professionals within the European energy industry in the modern technology of modelling and managing risk. The course is supervised by the Department of Mathematics, University of Oslo (UiO), and organized in collaboration with Energyforum.

Cross-Commodity Modelling:

  • Multivariate Models
  • Dependency Structures
  • Copulas
  • Multifactor Models
  • Spread Options (spark, dark)
  • Issues of Hedging Spreads

Emerging Markets

  • Modeling C02
  • Weather Derivatives

This two-day course will present material collected from selected topics in the field of energy finance. These topics include stochastic models for different prices observed in the market, along with necessary financial and mathematical theory for pricing futures and options.

Furthermore, analytical tools for controlling risk in the markets will be discussed, covering optimal control of portfolios and hedging strategies using various types of energy derivatives like swing options. Emphasis will be put on estimation and simulation to make the modelling applicable for practical use. In addition to the five main topics, a refresher on mathematics and statistics will be provided in the first session, with a view towards the techniques and models that will be in the core of the course.  This includes stochastic processes, pricing and hedging of options and Monte Carlo simulation techniques.

Please contact me if you have any questions!

Best Regards,
Johanna Öberg, Senior Project Manager
Energyforum
+46 8 586 197 00
johanna@energyforum.com

 Register to this course now!

 

Energy Finance -An Advanced Master Course:

Course Overview:

This course is step three of a three step master course that, if taken in its entity can make you eligeble for 10 ECT points rewarded by the Department of Mathematics, University of Oslo (UiO). If completing this course you can be eligeble for a Master level in mathematical finance and economics.

You can take this course in Oslo and continue with step one and two later on, or you can take any of the three courses on their own, it is up to you! 

Session 1, Berlin: October 23-24, 2008
 Day 1: 9:00-17:00, Dinner 19:00
Day 2: 9:00-17:00

Session 2, Madrid, February 11-12, 2009
Day 1: 9:00-17:00, Dinner 19:00
Day 2: 9:00-17:00

Session 3, Stockholm, May 14-15, 2009
 Day 1: 9:00-17:00, Dinner 19:00
Day 2: 9:00-17:00