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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 organised 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 part, 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.

 

 

Prerequisites:
A Master in mathematical finance, finance, economics, mathematics and/ or statistics.

Lectures and tutorials:
A total of 36 lectures and tutorials held over three two-day courses at different locations in Europe.

To view the programmes, click below:

To view part 1, click here
To view part 2, click here
To view part 3, click here

You can take one, two or all three parts in any order that you may like.

Information for those who wish to receive ECT Credits for this course:

Levels and Credits:
Master level in mathematical finance and economics, equivalent to 10 ECT credits. After individual application, the course may be included in a master or doctoral education programme in mathematical finance at the University of Oslo.

Exam:
The exam is to write a thesis on an individually selected topic demonstrating skills in one or more topics lectured in the course. The thesis must be handed in not later than two weeks after the last part, sent electronically to an assigned person. It must be of at least 20 pages length, and in word or pdf format.

Grading:
The grades are “passed with distinction”, “passed” and “not passed”. In order to pass, the student needs to participate in all parts, and write a thesis, which is evaluated to fulfill the requirements. A person from the Department of Mathematics (UiO) will grade the thesis. All students passing the course will receive a diploma from the University of Oslo.

 

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