EQuanT bootcamp - Quantitative Analysis and Modelling for Energy Trading & Risk management


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The EQuanT bootcamp is an intensive and practical training for professionals, researchers and practitioners willing to boost their knowledge and skills in quantitative analysis, modelling and pricing techniques with application to energy, commodity trading and risk management.
It includes theory, practical applications and coding.

The event is backed by the EQuanT Knowledge Community of professionals, ready to tackle complex problems in modelling and quantitative analysis for the financial and energy sectors. http://equant.ikbrokers.com

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EQuanT bootcamp - Quantitative Analysis and Modelling for Energy Trading & Risk management

  1. 1. -E-Qu∂nT- bootcamp 7th-9th November 2013 Rome, Italy 1st edition Quantitative Analysis and Modelling for Energy Trading & Risk Management «Over the past ten years energy trading has proved one of the most capital attractive of businesses. Energy Trading is not a pure science but rather a mix of scientific techniques and emotional behaviour. This complexity calls for a continuous update and upgrade of analysis and modelling toolset» S. Fiorenzani The EQuanT bootcamp is highly practical, interactive (limited seats), business oriented and with an optimal balance between: Sponsor partner: Theory Coding & simulation Business case & applications Hosted by: This intensive three-days bootcamp will enable you to: • Boost your knowledge and skills in energy markets quantitative analysis • Simulate the energy/commodity markets by developing working pseudoMatlab® codes under the guidance of the tutors • Leverage theory & financial engineering techniques by practical applications • Apply concepts to Energy Trading strategies & Risk Management • Enjoy the class and benefit from the cross-disciplinary aspects Partners: BOOTCAMP PROGRAMME Day 1 (7/11/2013): • Introduction to energy markets - • - • - Energy market players and venues, price dynamics and driving factors Physical underlings and financial instruments Spot and forward markets The structure of ETRM companies Application of High Performance Computing in Energy Finance Evolution of energy trading markets in the shale gas era In collaboration with: Quantitative Analysis Time series analysis Statistical estimators, returns, normality tests Auto-covariance and auto-correlation analysis Volatility, ARCH, ARMA, ARIMA, GARCH models Financial modelling and products Arbitrage, Asset Pricing theorems and Risk Neutral pricing Market models (Merton, Black-Scholes, Heston, Margrabe) The Greeks Vanilla derivatives instruments and basic structures For info on registration, agenda, details and sponsor opportunities: info@ikbrokers.com Empowered by: info@ikbrokers.com equant.ikbrokers.com
  2. 2. -E-Qu∂nT- bootcamp 7th-9th November 2013 Rome, Italy 1st edition Day 2 (8/11/2013): • Basic reduced-form stochastic processes - • - Overview of energy modelling techniques Brownian motion (ABM, GBM, MRD) Mean reverting diffusion Non linear derivatives Introduction to option pricing via Montecarlo Simulation Options, Black-Scholes formula and Feynman-Kac representation European Option pricing via Montecarlo simulations The Greeks and Delta Hedging Codependence in American Options Venue LUISS Guido Carli University Business School Viale Pola 12, 00198, Rome, Italy Social evening on Day2: Drink and dinner in the heart of Rome city centre fully covered by registration fee • Structured energy products - Codependence in Energy Structured Products Deterministic Dynamic Programming Stochastic Dynamic Programming (Lattice approach, HJB equation) Swing contract: Structure and pricing via Least Square Montecarlo Framing and solving Virtual Power Plants optimization problem Day 3 (9/11/2013): • Signal pre-processing - • - Seasonality and spikes pre-processing Advanced reduced-form stochastic processes Spot price models: Jump Diffusion, Spikes modelling Markov regime switching Stochastic volatility models • Risk Management - Risk Metrics, factors, models and measures (VaR, ES, CFaR, CVaR) Primer on risk management analytical and numerical techniques • Application to energy trading strategies - Directional trading Spread trading Volatility trading How to build up a trading strategy and a trading system Objects, predictors and performance analysis quantitative parameters Day 3 - technical session: Energy structured products valuation and risk analysis with: o Intro to valuation models for energy commodities Heston, Gibson Schwartz 2-factor, Gabillon o Implementation of energy derivatives pricing Market data set-up Complex pay-off, Crack-spread option o Risk Analysis on a portfolio of energy derivatives PFE/VaR CVA Who should consider to attend this bootcamp: Energy professionals* requiring training on the state-of-the-art modelling and pricing techniques New hires and job-rotators looking to boost their skills and knowledge Post-grads, PhDs and researchers requiring an exhaustive induction Independent analysts and traders willing to explore a leading investment sector Graduates and job-movers willing to break into the Energy Trading, Finance & Risk sector* Such as: Quantitative Analysts, Financial Analysts & Engineers, Portfolio & Risk Managers, Traders, Quant-traders, Modellers, Risk Controllers, Consultants, Strategists, ETRM specialists and developers info@ikbrokers.com equant.ikbrokers.com
  3. 3. -E-Qu∂nT- bootcamp 7th-9th November 2013 Rome, Italy 1st edition PREREQUISITES ▫ Prior knowledge in programming highly beneficial but not required ▫ Graduate-level knowledge in Finance, Calculus and Linear Algebra mostly beneficial ▫ Induction classes offered separately on the 6th November to ensure homogeneity in the starting skills INDUCTION CLASSES PROGRAMME 6/11/2013 – Morning session from h 9:00 6/11/2013 – Afternoon session from h 14:00 • Programming foundations • Mathematical Finance intro - - Programming tools Scripts and built-in functions User-defined functions Data I/O and financial providers download Plotting functions Functions for random and stochastic variables Probability space and filtration Stochastic processes (Wiener, Poisson, Levy) Itō's lemma Equivalent probability measure (th. Girsanov, Radom-Nikodym) Rapresentation of Martingales PDEs framework (th. Feynman-Kac ) • Finance foundations - Mechanics of future markets Mechanics of option markets Hedging with derivatives REGISTRATION FEES First edition promotional price: save 35% off the full price (normally 1610 €) ! Also benefit from 25% early registration discount registering by 11/10/2013 Further discount for groups of more than one delegate* Early registration (before 11/10/2013) Full registration (after 11/10/2013) 3-days Bootcamp: Professionals 825 € + VAT 1050 € + VAT 3-days Bootcamp: Academic and job-seekers** 390 € + VAT 520 € + VAT Programming induction 120 € + VAT 160 € + VAT Finance and Mathematical Finance induction 120 € + VAT 160 € + VAT * Professionals: two delegates 20% off, three or more delegates 25% off (up to 20/10/2013) * Academic and job-seekers: three delegates 15% off, four or more delegates 20%off (up to 20/10/2013) ** Students, Graduates (in the last 6 months before registration), PhD students, researchers, interns, fixed-term contracts, individuals looking for a job with no income (acceptance upon administration revision) The annual event for the Energy Trading & Risk Management Quant community Designed through an assessment of the industry Request For Qualifications (RFQs) Bridging the gap in knowledge and skills between the universities, research institutes and the industry info@ikbrokers.com equant.ikbrokers.com
  4. 4. -E-Qu∂nT- bootcamp 7th-9th November 2013 Rome, Italy 1st edition THE TUTORS Rafal Weron, Ph.D. Rafał Weron holds an M.Sc and a Ph.D. in Applied Mathematics from the Wroclaw University of Technology (WUT, Poland). He is Professor of Economics - Energy and Financial Markets at WUT (Wroclaw, Poland) and NTNU (Trondheim, Norway). His research focuses on risk management and forecasting tools for the energy industry and computational statistics as applied to finance. He is periodically engaged as a consultant to energy (Tauron Polska Energia, Vattenfall) and financial (Bank BPH, BRE Bank, Bank Millennium) companies. He is the (co-)author of five books and over 90 publications in academic and professional journals. Mario Dell’Era, Ph.D. Mario Dell’Era holds an M.Sc. in Theoretical Physics and a Ph.D. in Applied Mathematics from the University of Pisa. He taught International Corporate Finance at Pisa University and Quantitative Finance and Stochastic Processes at Scuola Superiore (Pisa, IT). His research spans PDEs methods in Finance and Stochastic Calculus. He has worked as trader on Electricity market (Investment Bank), Quantitative Analyst, software developer for Option Pricing , Stock-Exchange data analysis (INFN, Pisa), consultant (Scientifica Hiring, London). Author of books on Quantitative Finance, Editorial Board Member for international reviews of Finance. Manuele Monti, Ph.D. Manuele Monti holds an M.Sc. in Mechanical Engineering and a Ph.D. in Engineering – Mathematical Modelling and Computation from the University of Leicester (GB). He has worked for energy trading companies (GDF Suez, AceaElectrabel Trading) as Quantitative Analyst, Energy Derivatives Trader, Portfolio & Risk Manager. He has been Marie Curie researcher in the European Commission 6th Framework Programme and High Performance Computing (HPC) modeller, constantly aiming to integrate the scientific and technology research advancements with the business development of Finance, Energy and Renewable Energy industries. Enrico Edoli, Ph.D. Enrico Edoli has a degree in Mathematics and a PhD in Computational Mathematics applied to energy finance from the University of Padova. He is responsible for technical developments and quantitative modelling in Aleph Consulting, where he applies rigorous scientific methods to the energy sector. He is author of articles on quantitative methods applied to energy markets and insurance, and co-author of one book on advanced topics in energy trading. Giordano Frezza, M.Sc. Giordano Frezza holds an M.Sc. in Aerospace Engineering from the University La Sapienza of Rome. He is currently working as external Quantitative Analyst for energy trading firms developing proprietary trading systems on European Energy Market. He was partner at Galileo Finance S.p.A. He has worked as quantitative analyst and trader for Equity Hedge Funds, independent equity trader, proprietary HFT Strategies developer in Equity Derivatives, with a successful track record since 2009 (for more info visit www.analysisandtrading.com ) Ilja Faerman, M.Sc. Ilja Faerman is Head of the EMEA Quant Team at NumeriX. Mr. Faerman is expert in pricing complex derivatives and market and counterparty credit risk associated with large portfolios and multiple asset classes. In recent projects, he focussed on economic and regulatory capital allocation and coherent modeling of risk factors for CVA/DVA figures. He holds a B.S. in Computer Science and M.S. in Finance. Paolo Tarpanelli, Ph.D. Paolo Tarpanelli holds an economic degree in Quantitative Methods and a Ph.D. in Risk Management Commodity Markets from Università degli Studi of Perugia. He has worked at the International Structured Products department at Merrill Lynch, London (UK) and Thompson Reuters . Since 2013, Paolo works as quantitative analyst for NumeriX in the EMEA region. info@ikbrokers.com equant.ikbrokers.com