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.
Professor Fred Espen Benth
CMA and Birkeland innovasjon AS
November 8, 2004
09:00 - 15:00
CMA, University of Oslo
NOK 4000. Includes access to 5 lecture hours, course documentation