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. 

  

Time and place: – , Wolfgang Pauli Institute, Vienna

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.

Organizer

Fred Espen Benth
Published Feb. 3, 2016 10:51 AM - Last modified Mar. 25, 2022 8:46 AM
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Course leader is Professor Fred Espen Benth from the University of Oslo, Norway.