The intensive course is now fully booked, and we do not accept more registrations.
Course contents
- Stylized features of forward curves in energy markets
- Construction of Levy processes in time and space
- The forward price dynamics as a stochastic partial differential equation
- Options on energy forwards with delivery period
- Cointegration in energy markets
All participants will recieve copies of the course material electronically.
Program
9.00-10.00 Lecture I
10.00-10.30 Coffee Break
10.30-11.30 Lecture II
11.30-11.45 Short break
11.45-12.45 Lecture III
12.45-14.00 Lunch break
14.00-15.00 Lecture IV
Venue
The conference takes place at the Wolfgang Pauli Institute in Vienna, Lecture room 13. See here for a map of the Wolfgang Pauli Institute.