Modelling & Measuring Energy Risk
on the Nord Pool Market
26-28 September 2007, Oslo, Norway

WORKSHOP

Modelling and pricing in energy markets

9.00–12.00 PART I

Learn about the latest modelling tools for spot and forward pricing in the energy market. The workshop will explore different models from a practical and theoretical perspective, with emphasis on spot price models and  their link to forward prices. In particular, in the first module of this workshop you will learn about:

  • Exponential vs. arithmetic multi-factor spot price models
  • Pricing of forwards and futures in the electricity market
  • Market models for electricity forwards pricing

Workshop leader: Fred Espen Benth

13.00–14.00 Lunch

14.00–16.00 PART II

1) Why model commodity prices?

2) Time series

  • Stationarity, Autoregressive processes, ACF
  • Logarithmic transform, seasonality
  • Multi-factor models

3) Heavy-tailed distributions

  • GARCH-model
  • Normal Inverse Gaussian (NIG) distribution
  • Jump-processes

4) Covariation

  • Linear correlation
  • Copulas
  • Co-integration

5) Practical examples

  • Estimation procedure
  • Case study power
  • Case study gas

Workshop leaders:

Kjersti Aas
Kjersti Aas Kjersti Aas is Assistant Research Director at the Statistics Departement of Norwegian Computing Center (NR) and she is the head of the group working with financial risk management. She has a large experience in doing applied contract research within the field of statistical modelling in banking, insurance, energy and commodity markets. Kjersti has given several courses on the statistics of these markets in Norway. She is also doing more basic research, and her two last papers have recently been published in Journal of Financial Econometrics and Journal of Risk, respectively.

Anders Løland
Anders Løland Anders Løland is Senior Research Scientist at the Norwegian Computing Center (NR) in Oslo. Anders works with basic and applied contract research within statistical modelling of marine resources, health, industry, finance, energy and commodity markets. He has given several courses on statistics, including one University course on practical computational finance.

Ingrid Hobæk Haff
Ingrid Hobæk Haff Ingrid Hobæk Haff is a Research Scientist at the Statistics Departement of Norwegian Computing Center (NR). She works with basic and applied statistical modelling in banking, insurance, energy and commodity markets. She is also doing more basic research, and her two last papers have recently been published in Journal of Financial Econometrics and Journal of Risk, respectively.

The workshop will take place at University of Oslo, at the Centre of Mathematics for Applications (CMA) The Centre of Mathematics for Applications (CMA) was in June 2002 funded as a Centre of Excellence by the Research Council of Norway. CMA is organised at the University of Oslo (UiO) as a part of the Faculty of Mathematics and Natural Sciences

 

Yes, please send me the conference brochure.