Energyforum - Programme

Advanced Master Course in Modelling & Management of Energy Risk- Part two
Dusseldorf

Part 2: 9-10 February 2010, Dusseldorf

2. Pricing of futures and forwards in energy

From spot to forwards/futures
The risk premium and the market price of risk
Direct modelling of forwards/futures, market models
Term structure of volatility
Estimation and simulation of the forward curve
Smoothing of the forward curve

3. Energy Options

Options on forwards and futures
Black-76 formula with extensions
Simulation by Monte Carlo and fast Fourier transform
Swing Options
Issues of hedging

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