EQuanT bootcamp 2014 - Quantitative Analysis and Modelling for Energy Trading & Risk management

Lucca,Tuscany (Italy) -E-Qu∂nT- bootcamp
Quantitative Analysis and Modelling
for Energy Trading & Risk Management
13th-17th October 2014
This intensive four-days bootcamp will enable you to:
• Boost your knowledge and skills in energy markets, quantitative analysis,
risk management, structuring, hedging, non-linear products
• Simulate a wide range of energy models by developing working codes
(reference will be Matlab® and R) under the guidance of expert tutors
• Leverage financial engineering theory by practical applications of real-world
• Apply Quantitative Analysis to Energy Trading strategies & Risk
Theory
Coding & simulation
Business cases & applications
Management
• Enjoy the cross-disciplinary community of Energy and Quant professionals
Sponsor and technology partner:
The EQuanT bootcamp is highly practical, interactive
(limited seats), business oriented and with an optimal balance between:
2nd edition
Hosted by:
Partners:
In collaboration with:
2014
info@ikbrokers.com
www.equantbootcamp.com
BOOTCAMP PROGRAMME
Day 1 (14/10/2014):
Modelling, Quantitative Analysis and Risk Management
• Quantitative Analysis
- Time series analysis seaonality pre-processing by Wavelet Analysis
- Statistical estimators, returns and Normality test
- Auto-covariance / Auto-correlation analysis
- Volatility modelling
• Risk Management
- Risk Metrics, factors
- Risk models and measures (VaR, ES, CVaR, Par, CFaR)
- Liquidity risk
- Primer on risk management analytical and numerical techniques
• Electricity Forward Curves with Hourly Granularity
- Forward price curve recovery
- Seasonal components detection
- Hourly vs.daily granularity
- Case-Study: European Markets Curve Construction and Comparison
• Ambiguities affecting Commodity Spot-Forward Parities

-E-Qu∂nT- bootcamp
Day 2 (15/10/14):
Advanced Modelling, Option Pricing and
Calibration
• Advanced reduced-form model and calibration
- Spot models (Vasicek, Schwartz) development and calibration
- Multi-factor models
- PCA, MLE, OLE calibration
- Jump – diffusion models
- Forward curve models
• Option pricing and Calibration
- Analytical vs Numerical Vanilla pricing
- Asian Options pricing and application
• Modelling Energy Spots, Forwards and Options in the
Unified Framework of the Non-Markovian Approach
- Non-Markovian approach as a unified framework for modelling energy
spots, forwards and options
- Statistical, hybrid and fundamental interpretations
- Cyclical patterns, trends, upward, and downward spikes modelling
- Market-implied forward-looking risk-neutral probability distributions
- Examples of power, natural gas, oil and emission markets
Lucca,Tuscany (Italy)
2nd edition
Day 1 - technical session:
Dynamic Monitoring of Corporate Risk:
Method and Case-Study.
With: By:
Methodology
Industrial portfolio exposure
Dynamic monitoring of risk
Case-study
Valuation and Optimization of a Natural
Gas Storage with:
info@ikbrokers.com
Day 3 (16/10/14):
Non-linear Derivatives, Energy Structured
Products and Valuation Techniques
• Introduction to Financial Modelling and Products
- Arbitrage Principle
- Asset Pricing Theorems
- Risk neutral pricing
- Market Models (Merton, Black-Scholes, Heston, Margrabe)
- The Greeks
- Vanilla derivatives instruments and basic structures
• Non linear derivatives: options, the Black-Scholes
framework and the Greeks
- European options, Black-Scholes and Feynman- Kac representation
- European Option pricing via Montecarlo Simulation
- The Greeks, Delta Hedging, Theta Hedging
- Codependence: the American Option Case
• Energy Structured Products
- Codependence in Energy Structured Products
- Framing the valution problem: the Dynamic Programming Principle
- Deterministic Dynamic Programming
- Stochastic Dynamic Programming
• Lattice Approach
• Least Square Monte Carlo for Swing Option
• HJB equation
- Framing and Solving VPP optimization problem
Evening Day 3: social dinner
Social dinner moments at the last edition
o Intro to gas storage modelling
o Data management and model calibration
o Set up of the problem and storage valuation
Linear programming optimization
Montecarlo simulation

Day 4 (17/10/14):
Quantitative Energy Trading
• Introduction to Energy Trading
- Directional trading
- Spread trading
- Volatility trading
• Trading, hedging and dispatching optimization
on intra-day markets
- Stochastic Model Predictive Control (SMPC)
- SMPC for real-time market-based optimal power dispatch and
bidding
- Dynamic option hedging via SMPC
• Introduction to Quantitative Energy Trading
- How to build up a trading strategy
• Data base management
• Market Analysis
- Trading System
- Example of a trading system
• Objects and predictors
• Risk and performance quantitative parameters
• Quantitative Trading model applied to energy
market
- Trading tactics terms and crack spread ratios
- Risk models and quantitative strategies
- Case study: dynamic spread and optimization refinery model
- Example of a refinery portfolio optimization
• Pricing volatility
• Building a minimum variance strategy
• Performance and risk analysis
2nd edition
Energy and Commodity 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

2nd edition
PRE-REQUISITES
▫ 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 13th of October to ensure homogeneity in the starting skills
Intensive, Intercative, Friendly, Hands-on. Not just a «sit and listen» conference!
info@ikbrokers.com
INDUCTION CLASSES PROGRAMME
13/10/2014 – Morning session from h 9:00
• Programming foundations
- Programming tools
- Scripts and built-in functions
- User-defined functions
- Data I/O and financial providers download
- Plotting functions
- Fitting functions
- Functions for random and stochastic variables
13/10/2014 – Afternoon session from h 14:00
• Mathematical Finance intro
- 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 and stochastic process foundations
- Mechanics of future and option markets
- Hedging with derivatives
- Overview of modelling techniques
- Brownian diffusion (ABM, GBM, MRD)
- Principles of MC simulation and Vanilla option pricing
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
Venue
IMT Institute for Advanced Studies Lucca
Piazza S. Ponziano 6, 55100 Lucca
Social evening on Bootcamp Day3:
Drink and dinner in the old city centre included in
the four-days EQuanT Bootcamp registration fee

THE TUTORS
2nd edition
Andrea Roncoroni, Essec Business School
Andrea Roncoroni is Professor of Finance at ESSEC Business School Paris-Singapore and invited Reader at
Bocconi University, Milan. He holds PhD's in applied mathematics and in finance. His research interests primarily
cover energy and commodity finance, with a focus on risk management, financial modeling, and product
structuring. He put forward the Threshold Model for electricity price simulation and the FloVaR suite for the
dynamic monitoring of financial and industrial positions on commodities. He publishes in academic journals and
book series. As a professional advisor, he consulted for private companies and public institutions.
Mario Dell’Era, Intesa Sanpaolo
Mario Dell’Era holds an M.Sc. in Theoretical Physics and a Ph.D. in Applied Mathematics from the Pisa
University. He is currently serving as Quantitative Risk Analyst at Intesa Sanpaolo group. He taught
International Corporate Finance at Pisa University and Quantitative Finance at Scuola Superiore (Pisa, IT). His
research spans PDEs methods in Finance and Stochastic Calculus. He has worked as Quantitative Analyst,
Option Pricing software developer, Stock-Exchange and HFT data analyst. He is author of two books on
Quantitative Finance, and Editorial Board Member for international reviews of Finance.
Manuele Monti, GDF Suez
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, Structurer, 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, Finalyst
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
Finalyst Consulting, where he applies rigorous scientific methods to the energy sector. He is author of articles on
quantitative methods applied to energy markets, structuring and insurance, and co-author of one book on
advanced topics in energy trading.
Giordano Frezza, Proprietary Trader
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 )
Ahmos Sansom, Gazprom Marketing Trading
Ahmos Sansom has a PhD in applied Mathematics from the University of Nottingham and is a chartered member
of the Institute of Mathematics and Applications. He has several years of quantitative and numerical modelling
experience in the Commodities Industry where he has developed, implemented and validated a wide range of
models for business needs, such as VaR, EaR, gas storage, tolling, hedging optimization and credit portfolio risk
assessment. Prior to his current role at Gazprom Marketing and Trading as a Senior Quantitative Analyst he has
also worked for RWE and BG Group.
info@ikbrokers.com

2nd edition
Valery Kholodnyi, Verbund Trading
Valery Kholodnyi is Principal Quantitative Analyst with Verbund Trading as well as Pauli Fellow at the Wolfgang
Pauli Institute. He served as a Managing Director of Quantitative Research and Risk Analytics at Platts, Chief
Science Officer and Vice President of Research and Development at Integrated Energy Services, Director of
Research at TXU Energy Trading, Director of Quantitative Analysis at Reliant Resources, Professor of Financial
Mathematics and Risk Management and Executive Director of the Center for Quantitative Risk Analysis at Middle
Tennessee State University. He edited a book Quantitative Energy Finance as well as authored four books and
over a hundred research papers in finance, mathematics, physics and engineering. He is member of the editorial
boards of six international research journals. He received the 15th Anniversary Outstanding Contribution to
Energy Risk Award and the Pioneer Quant Honor by the Energy Risk Magazine.
Alberto Bemporad, IMT Lucca
Alberto Bemporad has a M.Sc. in Electrical Engineering and a Ph.D. in Control Engineering from the University
of Florence, Italy. He was postdoctoral researcher at Washington University (St. Louis), at ETH Zurich
(Switzerland), and IMT Institute for Advanced Studies Lucca (Italy) where he became the director in 2012.
In 2011 he cofounded ODYS S.r.l., a spinoff company of IMT Lucca. He has published more than 250 papers in
the areas of control systems, optimization, and their application in several domains. He is coauthor of various
MATLAB toolboxes including the Model Predictive Control Toolbox and Hybrid Toolbox (The Mathworks, Inc.).
Ruggero Caldana, Università Piemonte Orientale
Ruggero Caldana holds a PhD in mathematics applied to financial markets analysis and is Post-Doc researcher
at Università del Piemonte Orientale. His research interests primarily cover risk management, financial modeling,
and numerical methods, with a focus on energy and commodity finance. He worked three years as quantitative
analyst in PwC Advisory.
Ilja Faerman, NumeriX
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 focused 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.
Enrico Piccin, Edison Trading
Enrico Piccin works as Quantitative Analyst at Edison Trading. He holds an M.Sc. in Economics and Finance at
Ca' Foscari University, Venice. He has been working as Quantitative Analyst in the Asset Allocation team of
Fideuram Investimenti (Intesa Sanpaolo) and in the Generali's EquityDerivatives Trading desk. He has been
awarded by ASSIOM FOREX (The Italian Financial Markets Association) for the best dissertation about quant
finance, trading and portfolio management.
Francesca Perino, Mathworks
Francesca joined The MathWorks in January 2002 as Application Engineer in the Italian team. Before joining
MathWorks she worked as a software developer using MATLAB for model and algorithm design and
implementation. Francesca obtained her M.S. in Physics from Universita’ degli Studi of Torino working in the field
of computational physics. In MathWorks Francesca deals with high performance computing and parallel
programming languages, modeling and scientific computing with emphasis on financial modeling.
Want to submit a paper or become a tutor in the next EQuanT Bootcamp? Email: info@ikbrokers.com
info@ikbrokers.com

REGISTRATION FEES
Super-early registration discount (30% off) registering by 02/07/2014
Early registration discount (20% off) registering by 10/09/2014
2nd edition
Further discount for the 4-days bootcamp for academics** and groups of more than one professional
delegate*
Super Early registration
(before 02/07/2014)
Early registration
(before 10/09/2014)
Full registration
(after 10/09/2014)
Full 4-days EQuanT Bootcamp 966 € + VAT 1104 € + VAT 1380 € + VAT
Single days EQuanT Bootcamp 310 €/day + VAT 352 €/day + VAT 440 €/day + VAT
Programming induction 112 € + VAT 128 € + VAT 160 € + VAT
Finance, Math Finance and
112 € + VAT 128 € + VAT 160 € + VAT
Stochastic process induction
* Group of Professionals: two delegates 15% off, three delegates 20% off, four or more delegates 25% off (up to
10/09/2014)
* Academics: 50% off the full registration (before 10/09/2014), 40% off the full registration (after 10/09/2014)
* Group of Academics: two delegates 10% off, three or more delegates 15% off (up to 10/09/2014)
**MSc and PhD Students, Graduates (in the last 6 months before registration), researchers, university interns or
fixed-term contracts
info@ikbrokers.com
COURSE BOOKING TERMS AND CONDITIONS:
To book please contact IKBrokers at:
info@ikbrokers.com or online by the «Book Online»
button at www.equantbootcamp.com
Bookings are regarded as confirmed bookings when the
confirmation mail is received from info@ikbrokers.com
Live assistant at the indicated time for online booking
can be also accessed at: www.equantbootcamp.com
Subject to limited seats availability booking acceptance
of academics and Bootcamp single days reservations
are upon administration revision, and can be cancelled
by the administration.
PROGRAMME:
We are committed to mantain the highest standards and
continuously improve the original programme.
For force majeure circumstances the bootcamp
schedule, speakers can be subject to change,
postponed or cancelled.
SUBSTITUTIONS:
For IKBrokers courses, clients may substitute the
original delegate with another person belonging to the
same rate category at no extra charge. Written
notification is required to substitute a delegate.
BOOKING CANCELLATIONS:
Cancellation of the course booking will be subject to the terms
below:
- 10% charge for cancellation with 30+ working days notice
- 30% fee due for cancellation within 30 working days notice
- 50% fee due for cancellation within 5 working days notice
- 100% fee due for cancellation after 12:00 of the day before
the session start
CANCELLATION OF COURSE BY IKBrokers:
IKBrokers reserves the right to amend or cancel the course,
course times, dates or published prices. Changes to course
prices, times and dates will be advised before the course start
date and any course already paid in full will not be subject to
the increased price.
LAPTOPS:
You will not need a laptop to follow the bootcamp, although a
laptop with a properly installed version of Matlab® is strongly
recommended to follow the examples and coding applications.
Full codes compatibility is ensured only by Matlab®2014. If
you are not able to bring with you a laptop with licenses at the
bootcamp you are suggested to ask for any related limitation
to the organizers.

2nd edition
“The bootcamp was extremely interesting and useful,
both in terms of contents and making connections with
other people“ Head of Quantitative Development
info@ikbrokers.com
COOL MOMENTS AT THE 2013 EDITION:
“The bootcamp was a great experience, the best training
I have attendend so far” Quantitative Risk Professional
“Fantastic experience
really!” Derivatives Trader
“It was nice to see how financial energy markets are deeply
related to math models !” Postdoc and Ph.D. Theoretical Physics
FOR MORE COOL MOMENTS
FOLLOW THE FORUM: #equantbootcamp
AMONG THE COMPANIES IN THE LAST EDITION:

EQuanT bootcamp 2014 - Quantitative Analysis and Modelling for Energy Trading & Risk management

Recommended

Recommended

More Related Content

Viewers also liked

Viewers also liked (17)

Similar to EQuanT bootcamp 2014 - Quantitative Analysis and Modelling for Energy Trading & Risk management

Similar to EQuanT bootcamp 2014 - Quantitative Analysis and Modelling for Energy Trading & Risk management (20)

Recently uploaded

Recently uploaded (20)

EQuanT bootcamp 2014 - Quantitative Analysis and Modelling for Energy Trading & Risk management