Energyforum
Advanced Master Course in Modelling & Management of Energy Risk
23-24 October 2008, Berlin
Course Content:
Course 1: October 23–24, 2008, Berlin:
1. Stochastic modeling of energy spot prices
a. Overview of modeling approaches
b. Stylized facts – seasonality, spikes, heavy tails, volatility
c. Load and weather
d. Modeling of spikes with jump processes
e. Regime switching models
f. Multi-factor models
g. Estimation and simulation
h. Market price of risk
i. Forecasting spot prices with time series models
COURSE 2: February 11–12, 2009, Madrid
2. Pricing of futures and forwards in energy
a. From spot to forwards/futures
b. The risk premium and the market price of risk
c. Direct modelling of forward/futures, market models
d. Term structure of volatility
e. Estimation and simulation of the forward curve
f. Smoothing of the forward curve
3. Energy options
a. Options on forwards and futures
b. Black-76 formula with extensions
c. Simulation by Monte Carlo and fast Fourier transform
e. Swing options
f. Issues of hedging
COURSE 3: May 14–15, 2009, Stockholm
4. Cross-commodity modelling
a. Multivariate models
b. Dependency structures
c. Copulas
d. Multifactor models
e. Spread options (spark, dark)
f. Issues of hedging spreads
5. Emerging markets
a. Modeling CO2
b. Weather deriviatives
Info Brochure
