Stochastic modelling of energy markets - a pre-conference intensive course
By participating in this intensive course, you will learn about recent developments in the modelling of the random dynamics of forward and futures prices in energy (and commodity) markets. A general theoretical framework for stochastic processes with values in function space is developed, and applied to the particular situation of forward price modelling, yielding a class of space-time random fields.
The course requires a knowledge in stochastic analysis.
The intensive course is now fully booked, and we do not accept more registrations.
- 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.
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
The conference takes place at the Wolfgang Pauli Institute in Vienna, Lecture room 13. See here for a map of the Wolfgang Pauli Institute.