This 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.

1. Modeling, calibration and valuation of wind derivatives
WindDerivatives
16-17 October, 2014, Amsterdam
MASTERCLASS

2. Introduction
This 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 objectives
Acquiring 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
OURS 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.
Training
The 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.
WindDerivatives
A masterclass in weather analysis, wind turbine basics and the
modelling, calibration and valuation of wind and wind derivatives.

3. AGENDA
Program
DAY 1
Session 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

4. COURSELEADER
OURSProgram
DAY 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 LEEUW
Managing Director Mercurious

5. LANGUAGE
The workshop will be delivered in English.
DATE
16-17 October, 2014, 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: 2290 EUR excl.VAT.
(Register before 3rd of September)
Standard Price: 2590 EUR excl.VAT
MULTIPLE REGISTRATION DISCOUNT
Register two people from the same company and
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.