energy derivative courses dear vince grant good meet talk morning interesting details course actually two seperate courses one var promised hope see later month best regards chris course 1 energy derivatives pricing risk management course leaders dr les clewlow dr chris strickland houston 29 30 march 2000 london 3 4 april 2000 fee stg 1950 usd 2950 intermediate course aimed energy professional familiar energy derivative products requires mathematical foundations derivative pricing understanding pricing risk management energy derivatives course assumes participants familiar standard basic option pricing theory black scholes formula monte carlo simulation use binomial trees option pricing format course follow usual highly practical successful style alternate sessions lectures excel based computer workshops facilitate intensive interaction course limited maximum 15 participants early booking advisable excel based computer workshops deal oil gas well electricity derivatives contain detailed calculations pricing risk management end 2 days participants leave diskette containing answers workshops well valuable code pricing simulation registration fee includes pre course reading course materials copies relevant research materials diskette fully worked solutions computer workshops lunch refreshments additionally attendee receive free copy clewlow strickland forthcoming book energy derivatives pricing risk management includes valuable contributions enron vince kaminski grant masson upon registration participants sent pack containing relevant pre course reading course outline day 1 introduction energy derivatives modelling energy derivatives structures applications fundamentals modeling pricing analysing energy data spot price behaviour building forward curves assessing available models relationship spot price forward curve dynamics workshop analysing properties energy data mean reversion volatility structures jumps day 1 pm spot price models pricing simulation trees review spot price models pros cons spot price models pricing standard options swaptions caps floors collars simulation spot price models pricing exotic options barriers lookbacks asians etc building using trees energy derivatives building trees consistent forward curve pricing options trees workshop using simulation trinomial trees price energy derivatives day 2 forward curve based models forward curve dynamics forward curve models relationship spot price dynamics multi factor forward curve models volatility function interpretation estimation pricing standard energy options pricing energy swaptions pricing energy exotics using simulation workshop using simulation implement multi factor models price energy options day 2 pm risk management energy derivatives energy market risk hedging computing hedge sensitivities determining hedge instruments hedging energy derivatives book value risk energy markets pros cons approaches credit risk energy markets issues models workshop hedging energy portfolio please feel free e mail us register course contact regarding payment course 2 var energy markets course leaders dr les clewlow dr chris strickland houston 31 march 2000 london 5 april 2000 fee stg 950 usd 1950 intermediate course aimed energy professional familiar energy derivative products requires understanding theory calculation value risk energy derivative portfolios format course follow usual highly practical successful style alternate sessions lectures excel based computer workshops facilitate intensive interaction course limited maximum 15 participants early booking advisable excel based computer workshops deal oil gas well electricity derivatives end course participants leave diskette containing answers workshops well valuable code pricing var calculations registration fee includes pre course reading course materials copies relevant research materials diskette fully worked solutions computer workshops lunch refreshments additionally attendee receive free copy clewlow strickland forthcoming book energy derivatives pricing risk management upon registration participants sent pack containing relevant pre course reading course outline day 1 understanding var methodologies issues var uses var types var methodologies implications applying riskmetrics assumptions energy markets delta var historical simulation linear non linear instruments workshop applying simple var methodologies energy market day 1 pm calculation energy portfolio var using simulation modelling energy forward curve single multi factor modelling joint behaviour different energies simultaneously calculation covariances correlations incorporating jumps detailed example var calculation energy portfolio workshop simulating energy forward curves calculation var energy portfolio dr les clewlow dr chris strickland hold associate research positions school finance economics university technology sydney financial options research centre university warwick uk together 20 years combined experience financial energy derivative markets published many articles academic trade journals authors book implementing derivatives models wiley 1998 editors exotic options state art itp 1998 forthcoming book energy derivatives pricing risk management due published second quarter 2000 currently interests concentrated energy derivatives area developed wide range pricing tools electricity options energy derivatives