| 11.40 Evaluating the development of an electricity futures and forwards market • Assessing the development of a derivatives market – range of contacts being traded across Europe • Application of derivatives for hedging • Potential development of a speculative market Rafael de Benito Garcia, Energy Division Manager, FCYM |
| 1.50 Negotiating the complexities of integrating physical and financial contracts • Overcoming physical constraints • Impact of new futures and forwards contracts on physical and financial markets • Implications of regulatory changes for physical and financial contracts Dr Jesco von Kistowski, Managing Director, RWE ENERGY TRADING LTD |
| 2.30 Advanced techniques for building the electricity forward curve • Understanding the importance of the forward curve for pricing • Overcoming the difficulties in building the forward curve – seasonality and lack of data – hourly variations/peak times – non-storable nature of electricity • Implementing practical strategies for building the forward curve in different markets/countries Craig Pirrong, Professor of Finance, WASHINGTON UNIVERSITY |
| 4.20 Constructing future wholesale prices for the European power market • Understanding the difference between the forward curve and price forecasting • Short, medium and long term modelling approaches • Key drivers of European power prices over the next ten years • Incorporating volatility into price projections • The evolution from national to regional and pan-European market pricing Michael Morrision, Managing Director, CAMINUS |
| 5.00 The
latest techniques for pricing and hedging electricity options and structured
energy contracts • Assessing the unique features of gas and electricity – peaked distributions and spikes in the price process – seasonality and mean reversion – fat tails and time varying volatility • Analysing current pricing models – discussing the applicability of the Black and Black Scholes formulas to energy derivatives – understanding the crucial role of the forward curve – drawing lessons from interest rates for the accurate modelling of the forward curve dynamics • Pricing “first generation” exotic options – Asian options: the Geman-Yor model – spark-spread options and cross-commodity arbitrage – Monte Carlo simulations and value-at-risk – pricing “second generation” exotic options – American style options with ruthless exercise – the unique difficulties of general swing contracts • Weather derivatives – degree day contracts and Asian type payout – why dynamic hedging does not apply to weather related options – weather derivatives as insurance type instruments Hélyette Géman, Professor of Finance, ESSEC/ UNIVERSITE PARIS IX DAUPHINE |
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Day One Stream One, 3 April 2000 Pricing and trading in the European energy markets *(Move the mouse over the description marked with a star for further details) |
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Practical implementation of VAR in energy companies