This two-day masterclass will provide training on modeling, calibration and valuation of wind derivatives. The training will cover topics such as weather and wind risk analysis, wind turbine basics, statistical behavior of wind, modeling wind speed and power, types of wind derivatives, and pricing of wind derivatives. The agenda includes sessions on weather and wind risk, wind turbines, modeling weather and wind, hedging wind risk, and pricing wind derivatives. The goal is for participants to acquire new knowledge and perspectives on these topics.

1. Wind Derivatives
Modeling, calibration and valuation of wind derivatives
4-5 March, 2015, Amsterdam
MASTERCLASS

2. Introduction
This two-day training is specifi cally designed to expand the
participants’ knowledge and skills in interpreting weather
risk analysis, wind turbine basics, as well as the modeling,
calibration and valuation of wind and wind derivatives.
Depending on the experience levels of the participants,
some parts of the training can be extended or shortened.
The training is about wind derivatives, however, methods
of modeling, calibration and pricing will also be discussed.
There will also be time to explore the more practical sides
of wind modeling in VBA, MATLAB or R.
A tentative program of the sessions in this training can
be found below, however due to the high degree of
overlap between the sessions, new content will build
upon the material already covered, providing a seamless
learning experience. There will be time for questions and
discussions after the sessions.
This training is based on material developed in
collaboration with Mercurious and the Delft University of
Technology in the Netherlands.
Who should attend?
This program is specifi cally 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. COURSE
Wind Derivatives
A masterclass in weather analysis, wind turbine basics and the
modelling, calibration and valuation of wind and wind derivatives.
Learning objectives
To acquire new insight, knowledge and
perspectives on:
▶ Weather and wind risk
▶ Statistical behavior of wind
▶ Basics of wind turbines
▶ Basics on modeling and calibration
▶ Setting up a well-defi ned model
▶ Modeling wind speed and power
▶ Types of wind derivatives
▶ Pricing of wind derivatives
Training
This training is characterized by a strong emphasis on
interactivity, whereby the contribution of participants is of
utmost importance. Theory and practice are combined,
and the content of the training includes a combination of
scientifi c frameworks, theorems and practical examples.
Documentation At the start of the training the participants will receive a
syllabus with the learning material required for this specifi c
program. This includes all relevant documents, such as the
training set-up, defi nitions, examples and exercises.

3. AGENDA
AGENDA
DAY 1
Session 1 - Weather and Wind Risk
▶ Types of weather risk
▶ Fields of weather risk
▶ Basic statistical properties of weather risk
▶ Translation of weather to dollars
▶ Translation of wind to dollars
▶ Insurance versus hedging
Exercise: Weather risk in practice, and insurance
against weather risk
Exercise: Qualitative wind risk assessment
Session 2 - Basics of wind and wind turbines
▶ Origin of wind
▶ Characteristics of wind in Europe
▶ Drivers of wind speed
▶ Development of wind speeds in long and short term
▶ Correlation between wind sites
▶ Translation of wind to wind speed
▶ Wind turbine basics and development
▶ Effi ciency / power curve
Exercise: Basics and nature of wind
Exercise: How does a wind turbine work
Session 3 - Basics of modeling and modeling
weather
▶ Basics of modeling
▶ Defi nition of a well-defi ned model
▶ Choosing the right mathematical model
▶ Calibration in general
▶ Eff ects and pitfalls of calibrations
▶ Modeling of weather
Session 4 - Modeling of wind
▶ Modeling of wind
▶ Handling daily and yearly seasonal eff ects
▶ Handling distribution over diff erent time scales
▶ Deseasonalizing and reseasonalizing data
▶ Mean reverting processes and their properties
▶ Choices of modeling components
▶ Wind speed
▶ Wind power
Exercise: Finding, and extracting seasonality from data
Exercise: Eff ects of calibration
Session 5 - Hedging wind risk
▶ Current wind derivatives market and ways of trading
▶ Types of wind derivatives
▶ Wind speed derivatives
▶ Wind power derivatives
▶ Wind index derivatives
▶ Options and Futures
▶ Swaps
▶ CSAs
▶ Caps and Floors
▶ Alternatives to derivatives
Exercise: Pay-off of a wind derivative contract
Session 6 - Pricing of wind derivatives and wind risk
▶ Risk measures for wind
▶ Finding the right ingredients for a wind mitigation contract
▶ Pricing methods
▶ Monte Carlo methods
▶ Faster and more advanced pricing methods
▶ Risk reduction
▶ Interpretation of prices
Exercise: Calculate exposure to wind risk
Exercise: Diff erence in prices of contracts

4. COURSE
COURSE LEADER
Steven Hoyer
Consultant at McKinsey & Company
Steven Hoyer has an MSc degree in
Applied Mathematics from the Delft
University of Technology.
He previously worked with Mercurious,
where he discovered his interest in fi nancial
engineering. He is currently employed as a
consultant with McKinsey & Company, and
continues his work in the fi eld of weather
derivatives in close cooperation with the Delft
University of Technology. author of the books
‘Milkshakes & Butterfl ies’, ‘Hit & Lift’ and
‘Energy problems & future perspective’

5. LANGUAGE
The workshop will be delivered in English.
DATE
4-5 March, 2015, Amsterdam, The Netherlands
SCHEDULE
Each day starts at 09.00 and finishes at 17.00hrs.
REGISTRATION
http://www.energy-expert-network.com/courses
E-mail: Johanna.oberg@energy-expert-network.com
Phone:+46 (0) 85 333 2599
FEES
Early Bird: 2,290 EUR excl. VAT.
(Register before 22 January)
Price: 2,590 EUR excl. VAT standard price.
MULTIPLE REGISTRATION DISCOUNT
Two participants from the same company registering at
the same time will receive an additional 10% discount.
FOOD AND BEVERAGE
Food and beverages will be provided to the
participants during the day. Specific wishes can be
submitted to the organization.
DOCUMENTATION
Participants receive documentation, calculations and
exercises in a manual.
ABOUT THE ORGANIZERS
ENERGY EXPERT NETWORK
The 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.