Energyforum
Advanced Master Course in Modelling & Management of Energy Risk
23-24 October 2008, Berlin
ENERGY FINANCE
-MODELLING AND MANAGEMENT OF ENERGY RISK
This is an advanced master course targeted to train professionals in 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.
Background:
As the markets for electricity, gas and oil, and related “commodities” as emissions, freight and weather, are developing, new and advanced technology for modelling and managing the risk are called for. The participants of the course will be trained to understand and use the modern tools available, covering topics like stochastic modelling of price risk, hedging energy risk, derivatives, and cross-commodity modelling.
Contents:
The 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.
