Trading electricity is a volatile business. By participating at
this year's CMA Industry Day, you will be guided through the highlights
of recent research on risk modeling and analysis of electricity
markets, with a particular view towards the Nordpool market.
The focus will be on specifying stochastic models for the spot
and forward/futures price dynamics, how to estimate these and techniques
for pricing and hedging elctricity options. Through the daym the
participants will learn advanced analytical and numerical techniques,
including the Heath-Jarrow-Morton (HJM) approach, Mone Carlo simulations,
risk measuring, currency risk, and copulas in multivariate modeling.
| COORDINATES |
|
 |
| Lecturer |
Professor Fred Espen Benth |
| Organizer |
CMA and Birkeland innovasjon AS |
| Time |
November 8, 2004
09:00 - 15:00 |
| Place |
CMA, University of Oslo |
| Participation fee |
NOK 4000. Includes access to 5 lecture hours, course documentation
and lunch |
| List of participants |
Here,
(added Nov.9) |
| ENROLMENT |
|
|
| Please register for the CMA Industry Day within
October 25th, by; |
| Web |
click here to register
online |
| E-mail |
cma-info@cma.uio.no |
| Phone |
+47 975 42 688 |
| |
|
| PROGRAM |
|
|
| Modeling of the Spot Price Dynamics |
- Seasonal variation and mean-reversion
|
|
- Multi factor and regime models
|
- Multivariate modeling and copulas
|
- Estimation and simulation
|
| |
|
| Pricing of Forward/Futures |
- From € to NOK: Exchange rates
|
- Deriving forward/futures prices from spot
|
|
- Modeling forward/futures directly
|
| |
- Heath-Jarrow-Morton approach |
| |
- Smoothin of the forward curve |
| |
- Volatility modeling |
| |
- No-arbitrage conditions |
| |
- Parameter estimation |
| |
|
| Options on Forward/Futures |
- Pricing using a spot model
|
- Estimation of implicit volatility
|
- Pricing under a Heath-Jarrow-Morton model
|
- The Greeks: sensitivity and hedging
|
- Pricing using Monte Carlo methods
|
