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Enron Mail |
Shirley,
Please, enroll me in this course. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/08/2000 10:02 AM --------------------------- Chris Strickland <chris_strickland@compuserve.com< on 03/07/2000 12:20:40 PM To: Vince J Kaminski/HOU/ECT@ECT, Grant Masson <grant_masson@ei.enron.com< cc: Subject: Energy Derivative Courses Dear Vince/Grant, It was good to meet and talk with you both this morning - very interesting. Here are the details of the course (actually there are two seperate courses, one on VaR) that I promised you. I hope to see you both again later in the month. Best regards. Chris. COURSE 1: Energy Derivatives: Pricing and Risk Management --------------------------------------------------------------------------- - Course Leaders: Dr Les Clewlow and Dr Chris Strickland Houston: 29-30 March 2000 London: 3-4 April 2000 Fee : STG 1950 / USD 2950 This is an intermediate course aimed at the Energy professional who is familiar with energy derivative products but who requires the mathematical foundations of derivative pricing and an understanding of the pricing and risk management of energy derivatives. This course assumes that participants are familiar with standard basic option pricing theory (the Black-Scholes formula, Monte Carlo simulation, and the use of binomial trees for option pricing). The format for the course will follow our usual highly practical and successful style of alternate sessions of lectures and Excel based computer workshops. To facilitate intensive interaction, the course will be limited to a maximum of 15 participants so early booking is advisable. The Excel based computer workshops deal with oil and gas as well as electricity derivatives and contain detailed calculations for pricing and risk management. At the end of the 2 days, participants leave with a diskette containing answers to all the workshops as well as valuable code for pricing and simulation. Registration fee includes: pre-course reading, course materials, copies of relevant research materials, diskette with fully worked solutions to computer workshops, lunch and refreshments. Additionally, each attendee will receive a free copy of Clewlow and Strickland's forthcoming book "Energy Derivatives: Pricing and Risk Management" which includes valuable contributions from Enron's Vince Kaminski and Grant Masson. Upon registration, participants will be sent a pack containing relevant pre-course reading. COURSE OUTLINE Day 1, AM : Introduction to Energy Derivatives Modelling Energy derivatives - structures and applications Fundamentals of modeling and pricing Analysing energy data Spot price behaviour Building forward curves - assessing available models The relationship between the spot price and forward curve dynamics Workshop : Analysing the properties of energy data - mean reversion, volatility structures, jumps Day 1, PM :Spot Price Models and Pricing by Simulation and Trees Review of spot price models The pros and cons of spot price models Pricing standard options, swaptions, caps, floors, and collars Simulation for spot price models Pricing exotic options (barriers, lookbacks, Asians, etc.) Building and using trees for energy derivatives Building trees consistent with the forward curve Pricing options in trees Workshop: Using Simulation and trinomial trees to price energy derivatives Day 2, AM : Forward Curve Based Models Forward curve dynamics and forward curve models The relationship to spot price dynamics Multi-factor forward Curve Models Volatility function interpretation and estimation Pricing standard energy options Pricing energy swaptions Pricing energy exotics using simulation Workshop : Using simulation to implement multi-factor models and price energy options Day 2, PM : Risk Management of Energy Derivatives Energy market risk and hedging Computing hedge sensitivities Determining the hedge instruments Hedging a energy derivatives book Value-at-Risk in energy markets - the pros and cons of the approaches Credit Risk in energy markets - issues and models Workshop: Hedging an energy portfolio Please feel free to e-mail us to register for this course and we will contact you regarding payment. ----------------------------------------------------- COURSE 2: VaR for Energy Markets ----------------------------------------------------- Course Leaders: Dr Les Clewlow and Dr Chris Strickland Houston: 31 March 2000 London: 5 April 2000 Fee : STG 950 / USD 1950 This is an intermediate course aimed at the Energy professional who is familiar with energy derivative products but who requires an understanding of the theory and calculation of Value at Risk for energy derivative portfolios. The format for the course will follow our usual highly practical and successful style of alternate sessions of lectures and Excel based computer workshops. To facilitate intensive interaction the course will be limited to a maximum of 15 participants so early booking is advisable. The Excel based computer workshops deal with oil and gas as well as electricity derivatives. At the end of the course participants leave with a diskette containing answers to all the workshops as well as valuable code for pricing and VaR calculations. Registration fee includes: pre-course reading, course materials, copies of relevant research materials, diskette with fully worked solutions to computer workshops, lunch and refreshments. Additionally, each attendee will receive a free copy of Clewlow and Strickland's forthcoming book "Energy Derivatives: Pricing and Risk Management". Upon registration, participants will be sent a pack containing relevant pre-course reading. COURSE OUTLINE Day 1, AM : Understanding the VaR methodologies and issues What is VaR? Uses of VaR Types of VaR methodologies Implications of applying the RiskMetrics assumptions in energy markets Delta VaR, historical simulation Linear and Non Linear Instruments Workshop: Applying simple VaR methodologies in the energy market Day 1, PM : Calculation of Energy portfolio VaR using simulation Modelling the energy forward curve - single and multi-factor Modelling the joint behaviour of different energies simultaneously Calculation of covariances and correlations Incorporating jumps Detailed example VaR calculation for an energy portfolio Workshop: Simulating energy forward curves and calculation of VaR for an energy portfolio. Dr. Les Clewlow and Dr Chris Strickland hold Associate Research Positions at both the School of Finance and Economics, University of Technology, Sydney and the Financial Options Research Centre, University of Warwick, UK. Together they have over 20 years combined experience in the financial and energy derivative markets and have published many articles in academic and trade journals. They are the authors of the book "Implementing Derivatives Models" (Wiley, 1998) and editors of "Exotic Options: The State of the Art" (ITP, 1998). Their forthcoming book, "Energy Derivatives: Pricing and Risk Management," is due to be published during the second quarter 2000. Currently, their interests are concentrated in the energy derivatives area, where they have developed a wide range of pricing tools for electricity options and other energy derivatives.
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