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DAY 1: Wednesday November 28

9:00 - 10:00
ENERGY MARKET FEATURES

10:15 - 12:45
BASIC ENERGY DERIVATIVES
- Basic Energy Derivatives
- The difference between Futures and Forwards contracts
Examples: NYMEX and IPE Futures
- How to build tailor-made risk profiles
Examples: NYMEX and IPE Futures

14:15 - 16:15
PRICING ENERGY DERIVATIVES
- Pricing Energy Forward
- Pricing Commodity Swap
- Pricing Energy options: the Black Model Application: How to estimate volatility

16:30 - 18:00
INTRODUCTION TO BUILD MODELS FOR ENERGY PRICES
- Mean reversion and seasonality
- The Schwartz-Smith model
Application: How to calibrate and use the Schwartz-Smith oil price model

DAY 2: Thursday, November 27

9:00-11:00
MODELLING ENERGY PRICES
- Two factors models
- Regime switching approach
- Calibration of models

11:15 - 12:45
USING ENERGY DERIVATIVES
- Exotic options
- Commodity spreads
- Hybrids

14:15 - 16:15
MEASURING RISK
- Risk classes: Market risk, Strategic risk, Credit risk, Operational risk
Market Risk
- Risk Measures: Value at Risk, CVaR .
- Computing Value at Risk
- Alternative operational approaches for computing Value-at-Risk: (parametric,
Monte Carlo, historical simulation)

16:30 - 18:00
MANAGING RISK
- Volatility and correlation
- Mean square error minimization
- Application 2: Estimating cross-price correlation

Day 3: Friday, November 28

9:00 - 11:00
FORWARD CURVE MODELLING
- Spot prices, forward prices and the cost of carry
- Framework 1: spot - convenience yield models (Gibson-Schwartz)
- Framework 2: forward curve models (Jamshidian)
- Applications: Factor identification via  PCA and volatility estimation, Var measurement of energy portfolios

11:15 - 12:45
FORWARD MODEL ESTIMATION
- Commodity model calibration: Kalman filter vs. functional likelihood estimation\
Periodical Principal Components Analysis
- Case-study: Comparison of estimation methods and stylized facts in the oil and gas markets.

14:15 - 16:15
CROSS-COMMODITY DEPENDENCE
- Linear correlation and its pitfalls
- Copula functions and dependence measures
- Estimation of a parametric copula function
- Simulation of multi-commodity price dynamics
- Case-study: Dynamic copula model for the spark spread

16:30 - 18:00
HEDGING ENERGY FLOW ASSETS
- Flow pattern hedging using static forward strategies
- A RAROC-based approach to risk measurement
- Case-study: Tariff, risk and hedging ratio for a load-serving contract