Modeling, calibration and valuation of wind derivativesWind Derivatives
16-17 October, 2014, Amsterdam
MASTERCL
ASS
IntroductionThis two day masterclass is specifically designed to expand participants’ knowledge of, and skills with respect to weather analysis, wind turbine basics, and the modeling, calibration and valuation of wind and wind derivatives. Although the masterclass is about wind derivatives, a great deal of background information about modeling, calibration and pricing will be needed. Also some knowledge about the types of various wind derivatives will be needed.
This master class is based on material developed in-house by Mercurious in collaboration with the Delft University of Technology in the Netherlands.
Learning objectivesAcquiring insight and knowledge of:
▶ Behaviour of wind over the last decades ▶ Types of wind derivatives ▶ Basic technology of a wind turbine ▶ Modeling & calibration principles ▶ Modeling of wind ▶ Pricing of wind derivatives
COU
RSE
Who should attend?This program is specifically developed for people within or around wind risk management of an energy company or people with mandate to trade weather derivatives at a trading company.
TrainingThe masterclass has a strong interactive character whereby the contribution of participants is of utmost importance. Theory and practice are brought forward by means of official definitions, scientific theories, practical exercises and cases.
Documentation Participants will be provided a syllabus with study material regarding this specific program. It contains all relevant documents, such as power point slides, factsheets, cases and exercises.
Wind DerivativesA masterclass in weather analysis, wind turbine basics and the modelling, calibration and valuation of wind and wind derivatives.
AGEN
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ProgramDAY 1Session 1: What is wind?
▶ Origin of wind ▷ Characteristics of wind worldwide ▪ Daily seasonality ▪ Yearly seasonality ▪ Distribution of wind speeds
▶ Wind speed change in height ▶ Wind dependencies ▶ Wind and climate effects ▶ Average wind per hour or day
Simulation ▶ Wind speed analysis in the Netherlands
Session 2:Hedging of wind risk
▶ Principles of weather derivatives ▶ Wind derivatives
▷ Wind speed derivatives ▷ Wind power derivatives ▷ Wind index derivatives
▶ Types of derivatives ▷ Futures, ▷ Options, ▷ Swaps, ▷ Caps & Floors ▷ CSAs
▶ Alternative hedging methods ▷ Mitigating to customer ▷ Correlation with other weather segments
Exercise ▶ Types of wind derivatives
Exercise ▶ Pay-off of a wind speed CSA
Session 3: Wind turbine basics
▶ Technology of wind turbines ▶ Cut-in/out speed ▶ Efficiency curve ▶ Translation of wind speed to amount of generated electricity
Exercise: Wind turbine: a case study
Session 4:Principles of modeling and calibration
▶ Definition of a ‘good’ model ▷ Accuracy ▷ Comprehension ▷ Running time
▶ Optimizing a model ▶ Effects of calibration
Exercise: ▶ Choosing the right model
Exercise: ▶ Calibrating a model
COURSE LEADERCO
URS
E ProgramDAY 2
Session 5: Deseasonalizing wind data
▶ Distribution of wind speed ▶ Deseasonalizing data
▷ Yearly average approach ▷ Consecutive regressions approach
▶ Dividing by or subtracting of the seasonality function
Exercise: ▶ Modeling seasonality
Session 6:Wind speed modeling
▶ Reconstructing wind speeds ▷ Incorporating seasonality
▶ Continuous time modeling ▶ Mean reverting processes ▶ Calibration of parameters
Exercise: ▶ Judging wind speed models
Session 7: Pricing of wind derivatives
▶ Finding the right wind index ▶ Monte Carlo methods ▶ Risk reduction ▶ Interpretation of prices
Excel Exercise: ▶ Monte carlo pricing of wind derivatives
Jerry de Leeuw founded Mercurious in 2004, when many gas & electricity markets in Europe were liberalized. After completing his study in Economics in 1995 he became a Market Maker on the trading-floor of the European Option Exchange (EOE) in
Amsterdam.
He was employed by Curvalue on EOE, Amsterdam Exchanges (AEX) and Euronext. In 1999 he established his own Market Maker company, which was licensed under the supervisory body AFM. This firm became a Member of Euronext Liffe, and had clearing-contracts with Fortis, KBC bank and Goldman Sachs. Over the years, Jerry has traded by open out-cry on the floors of various exchanges and has a great deal of experience in screen-based trading. He has extensive experience in a variety of products, (amongst others) ranging from stocks, FX and commodities to futures, options and structured products. He is also
JERRY DE LEEUWManaging Director Mercurious
LANGUAGEThe workshop will be delivered in English.
DATE 16-17 October, 2014, Amsterdam, The Netherlands
SCHEDULEEach day starts at 09.00 and finishes at 17.00hrs.
REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: [email protected]:+46 (0) 85 333 2599
FEESEarly Bird: 2290 EUR excl. VAT. (Register before 3rd of September)Standard Price: 2590 EUR excl. VAT
MULTIPLE REGISTRATION DISCOUNTRegister two people from the same company and receive an additional 10% discount.
FOOD AND BEVERAGEFood and beverages will be provided to theparticipants during the day. Specific wishes can besubmitted to the organization.
DOCUMENTATIONParticipants receive documentation, calculations andexercises in a manual.
ABOUT THE ORGANIZERS
ENERGY EXPERT NETWORKThe Energy Expert Network is a network of experts and hands-on energy market participants that provides companies with tailored courses.
The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and experience in teaching energy industry professionals. Energy Expert Network also provide open courses on fixed dates in co-operation with external experts.