| 11.00 Estimating volatility for efficient pricing, trading and risk management • Overcoming the problems of modelling volatility – lack of data – seasonality • Historical vs. implied volatility • Modelling the term structure of volatility • Applying stochastic techniques to forecast volatility • Estimating volatility for the forward, daily and hourly market • Analysing variations in volatility in regional European markets • Calibrating models to the market Reinhard Wolloner, Head of Energy Economics and Risk Management, AUSTRIAN POWER TRADING INC. (APT) |
| 11.40 Advanced techniques to measure and exploit correlation • Measuring the correlation between different commodities – electricity and gas – electricity and coal or oil • Correlating products with limited historical data • Predicting future correlations • Measuring and managing cross commodity risk • Trading the spark spread Piet Devolder, Risk Manager, ELECTRABEL |
| 1.50 Forecasting the development of a European emissions trading market • Predicting the likely players within a future emissions trading market – overcoming the obstacles to creating a market to trade emissions • Regulatory considerations • Identifying and managing the risks associated with emissions trading – risk management tools available • Assessing the current models and products being debated • Analysing the development of renewable certificates trading • Practical experiences from the Scandinavian market Peter Sceats, Coal Risk Manager, RWE ENERGY TRADING LTD |
| 3.00 Valuing generation assets • Comparing and contrasting different techniques for valuing physical assets • Applying real option theory to value assets • Analysing the drive to divest generation assets • Enhancing the value of generation assets using derivatives • Practical example Chris Harris, Head of Internal Markets, NATIONAL POWER |
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| Day
Two Stream One, 4 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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