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Related Courses

Derivatives - Applications and Settlement Process



Energy Derivatives

In-house

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

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


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


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