Energy Derivatives
April 2010 Dubai, London. Contact us to find out about the course dates
Energy markets worldwide are undergoing through a rapid pace of deregulation, competition, and a increasingly dynamci supply and demand imbalances. Banks, enery producers, marketers, traders and large users are all participating in this fast growing derivatives market. For many market participants energy derivatives still appear to be new phenomenon.
This course is aiming to provide a very detailed overview and insights to pricing and risk managing key energy derivatives and contracts.
Main topics covered during this training:
- Understanding and analysis of spot prices
- Volatility estimation in energy markets
- Constructing energy forward curves
- Energy derivatives structures
- Spot price models and pricing standard options
- Pricing derivatives using forward curve models
- Risk management of energy derivatives
- Credit risk in energy markets
Teaching Method
1. The content of this course is highly practical and build around case studies and computer-based exercises to equip you with the financial statement reading and calculating skill set on completion.
2. Small group size allows you to interact with the trainer and other participants and ask as many questions as you want.
3. If required, you will receive some support after the course completion.
4. In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
5. You will also benefit from comprehensive take away course documentation.
Due to the practical nature of the course number of places is limited and will be filled on first come, first accepted basis. We advise to book in advance in order to avoid disappointment.
Delegates are required to bring laptops. If requested we can provide laptop for an additional fee of £100 + VAT
Energy Derivatives - Pricing and Risk Management
A 2 Day Programme
1. Introduction to energy derivatives
2. Understanding and analysis of spot prices
- Mean reversion
- Stochastic volatility
- Jumps
- Seasonality
3. Volatility estimation in energy markets
- Various methods to estimate volatility from historical prices
- Implied volatilities and stochastic volatility
4. Energy forward curves
- Constructing forward curves
- Forward curves in power and gas markets
5. Energy derivatives structures
- Swaps and swaptions
- Caps, Floors and collars
- Compound options
- Spread options
- Path dependent options
6. Spot price models and pricing standard options
- Single factor models
- Two and three factor models
7. Spot price models and pricing path dependent and American style option
- Simulation methods
- Building trinomial trees
8. Pricing derivatives using forward curve models
- Pricing standard options
- Pricing exotic options
9. Risk management of energy derivatives
- Value at Risk Methodologies
- Variance Covariance VaR
- Delta Gamma VaR
- Monte Carlo VaR
- Historical Simulation
10. Credit risk in energy markets
- Key components of credit risk models
- CreditMetrics
Dr Mustafa Cavus
Mustafa is a highly skilled consultant, analyst, quant and a risk manager. Over the last 13 plus years he has worked in commodity and asset management industries. His most recent positions involved being a risk manager at Threadneedle Asset Management and Head of Quantitative Analysis at TXU Europe Energy Trading.
His experience covers a wide range of asset classes: equities, bonds, commodity and credit. He has a strong understanding of derivatives and structured products & pricing and risk management. He is an expert in the whole risk life-cycle: analysis, quantification, reporting, control, policy design. Mustafa has hands on approach to quantitative challenges, risk analysis and modeling - designed and built large number of models for derivatives pricing and risk management
His consulting experience covers both financial and energy trading and risk management clients. His first consulting assignments date back to 1996 where he worked for the UK banking regulatory body, the Financial Services Authority on a regulation study.
Mustafa published two books on option pricing and contributed to several others publications including some on Basel II. He has presented at various professional and academic conferences, workshops and seminars.
Mustafa holds a PhD in Applied Financial Mathematics from Manchester University and a first degree in financial economics from the univesity of Cologne (Germany).
April 2010 Dubai, London
Contact us to find out about the course dates
Early Bird before 12 March - £1750
Regular price: £1950
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DISCOUNTS
BIG GROUP SAVINGS!
- 2 people 5% and 3 people - 10% discount. Delegates have to be from the same company and book at the same time.
- If you book for 2 courses at the same time you will receive 10% of the full value of the cheaper course.
IN-HOUSE TRAINING
- If you have a team of 4 or more this course can be customised and organised in-house at your convenience. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 193 5035
or send an e-mail to: enquiry@eurekafinancial.com
