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Course Description
Duration: 9 am to 4 pm (with optional Q&A session between 4 pm and 5 pm)
9:00 - 9:15 am Introduction
9:15 - 10:00 am Distinction between a Forward Curve and a Forecast
- Definition of a Forward Price
- The Traditional Structural Modeling Approach
- Marking-to-Market
10:00-10:30 am Forward Curve Dynamics
- Short-Term vs. Long-Term Biases
- Price Mean Reversion vs. Lognormality
- Long Term Equilibrium
- Risk Adjustment
10:30 - 10:45 am Morning break
10:45 - 12:00 pm Interpreting Forward Price Curves
- Power Markets
- Natural Gas Markets
- Forward Price Curve Movies
12:00 - 1:00 pm Lunch
1:00 - 2:00 pm Problems Associated with Illiquid Markets
- The Visible Portion of the Liquid Curve
- What To Do When Market Data is Not Available
- Curve Parameter Calibration
2:00 - 2:15 pm Afternoon break
2:15 - 3:00 pm The Hybrid Approach: Linking Quantitative and Structural Models
3:00 - 4:00 pm The Pilipovic Model: Two-Factor Price Mean Reversion with Seasonality
4:00 pm End of session
4:00 - 5:00 pm Optional "Question and Answer" session
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