| 10.55
Managing and trading structured energy contracts with embedded options • Identifying the optionalities in an energy contract – interruption rights – time and volume flexibility as swing options • Unbundling a structured product into a spot or forward contract and a portfolio of energy options • Assessing different valuation approaches – Black-Scholes and Black formulas for options on futures – closed form solutions for exchange and spread options – numerical methodologies for swing options • Examining the relationship between swap and futures prices • Evaluating pricing methodologies for Asian options: the Géman-Yor model versus Monte Carlo simulations • Applying volatility estimators for accurate option valuation Hélyette Géman, Professor of Finance, ESSEC/UNIVERSITE PARIS IX DAUPHINE |
| 11.35
Market price forecasting techniques for the US power market • Comparing and contrasting different approaches for market price forecasting – using a structural model – using a finance approach • Determining the market price of risk • Understanding how econometric factors (interest rates, inflation) affect price forecasting • Comparing long-term and short-term price forecasting • Comparing forward curve and price forecasting for making trading decisions Michael W. Day Director Commodity Pricing & Modelling, Energy Risk Management DUKE ENERGY |
| 12.15
Key considerations of emissions trading • Governmental influence on emission trading – pricing emission • Incorporating prices of emission into models • Inability to transfer emission credits • Key environmental considerations Brian Jantzi Manager, Emission Reduction Trading ONTARIO POWER GENERATION INC. |
| 2.55
Moderated
Q & A plenary session: Implications for the global energy industry of e-commerce Moderated by Ben Pratt, Trading Architecture and Advanced Applications, KOCH INDUSTRIES •
Assessing
how e-commerce can be profitable to an energy company |
| 3.40
Latest advances in the weather derivatives market • Update on weather derivative products being used in the market – weather futures and options – weather bonds – heating/cooling degree day swaps and options – precipitation instruments • Assessing the implications of increased market liquidity for weather derivatives trading Lynda Clemmons VP, Weather Derivatives ENRON NORTH AMERICA |
| 4.20
Key pricing methodologies for weather derivatives • Refining existing methodologies in order to develop new ones • Incorporating weather into a pricing model • Implementing valuation in the context of forecasting models and Monte Carlo • Understanding long-term trends in data – stock prices (mean value, day-to-day variations) • Ensuring supply-demand balance • Incorporating volatility into option pricing Kevin Green Chief Quantitative Analyst CASTLEBRIDGE PARTNERS LLC |
| 5.00
Key developments in weather risk management • Weather risk securitisation • Insurance policies vs weather derivatives • CASE STUDY: weather-indexed bonds Glen Sweetnam RELIANT ENERGY |
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Day
Two - Stream One, 10 May 2000
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| Pricing
and trading in the US Power Market *(Move the mouse over the description marked with a star for further details) |
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