1. An advanced training course for analysts on
The Econometrics of Energy Markets
8-9 May 2013, London
Course Leaders
Andrea Bucca, Glencore Ltd
Mark Cummins, Dublin City University

2. The Econometrics of Energy Markets
OURS
This course in the econometrics of energy markets is aimed at market
analysts, quantitative analysts and risk analysts, as well as economists in
the energy sector.
With this advanced course you will learn to model energy spot prices, including
advanced features such as stochastic volatility and jumps. The course will give
an overview of time series modelling, including cointegration and error correction
models. Advanced modelling techniques for energy futures and options markets
will also be presented in detail.
In order for you to understand how to use the theory in your every day work, the
lectures will be mixed with practical exercises.
Who should attend? Knowledge requirements
o Market Analysts You will need to have an understanding of
o Quantitative Analysts basic statistical techniques (undergraduate
o Risk Analysts level).
o Energy Economists
o Middle-Office Analysts Laptop required
o Risk Managers You will complete exercises on your own
laptop. You will need to have MS Excel with
the Solver addin installed on your computer
and also have the open source econometric
package GRETL installed, which is available
at http://gretl.sourceforge.net/.

3. AGENDA
AGENDA
AGENDA
Programme Day 1 Programme Day 2
8.30 - 9.00: Registration
9.00 -17:00: 9.00 - 17:00:
Morning Session: Morning Session:
Modelling in Energy Markets Energy Forward Curve Modelling
▶ Introduction to energy markets – oil, gas and electricity ▶ Overview of statistical properties of energy forward
▶ Statistical properties of energy market prices markets
▶ Introduction to ordinary and generalized least squares ▶ Link between spot price models and forward prices
modelling ▶ Analysis of forward price premiums and estimation of
▶ Application of autoregressive (AR), moving average (MA) market price of risk
and autoregressive moving average (ARMA) techniques ▶ Forward curve models: From Black ’76 to multifactor
▶ Overview of error-correction models Heath-Jarrow-Morton
▶ Application of cointegration techniques ▶ HJM forward curve model: Volatility modelling using PCA,
and Monte Carlo simulation
Afternoon Session: Afternoon Session:
Energy Spot Price Modelling Model Calibration in Energy Options Markets
▶ Modelling seasonality in energy price behaviour ▶ Introduction to energy options markets and option pricing
▶ Mean-reversion in energy market prices and application of ▶ Calibration on options data: Implied estimation of spot
mean-reverting spot price models price and forward curve models
▶ Skewness and excess kurtosis effects: Stochastic volatility ▶ Evaluating and testing model performance: Goodness-of-
and jump modelling fit, in-sample pricing and out-of-sample pricing
▶ Application of GARCH techniques in modelling volatility and ▶ Implied volatility: An examination of volatility surface
correlation dynamics in energy options markets
▶ Modelling of electricity spot prices: Application of mean- ▶ Implied correlation: Analysis of energy spread options
reversion jump-diffusion and regime switching models markets
All sessions incorporates interactive exercises! All sessions incorporates interactive exercises!

4. LEADER
COURSE LEADERS
Andrea Bucca
Risk Manager, Glencore Ltd
Andrea Bucca is a risk manager responsible
for the shipping division in Glencore; his
specific control activities include measuring
and reporting trading exposure, daily P&L
Mark Cummins
Lecturer in Finance at Dublin City University
Mark Cummins is a Lecturer
in Finance at the Dublin City
University Business School and
Programme Chair of the MSc
reporting, VaR reporting, market risk reporting, in Sustainable Energy Finance.
as well as monitoring compliance with delegated He holds a PhD in Quantitative
authorities. Key responsibility is to interface with Finance, with specialism in the
the trading managers, traders, schedulers and application of integral transforms
global business units. and the fast Fourier transform
(FFT) for derivatives valuation and risk
Previously he was an Econometrician in the management. He has a keen interest in a broad
Risk Quantitative Analysis team (RQA) at BP Oil range of energy modelling, derivatives, risk
International Ltd. with responsibility for validation management and trading topics. He also has
and review of existing models, and research and a particular interest in the area of sustainable
development of new modelling techniques in energy finance, with particular focus on the
shipping, gas and power markets. Prior to this, he emissions markets. He holds additional interests
worked as a Senior Market Analyst at the London in the areas of model risk and model validation.
Metal Exchange and as a
Research Associate at the Commodities Finance Mark has previous industry experience working as a
Centre at Birkbeck. Andrea holds an MSc in Finance Quantitative Analyst within the Global Risk function
from Birkbeck, University of London. for BP Oil International Ltd., based in Canary Wharf,
London. As part of the Risk Quantitative Analysis
team, his primary responsibilities included derivatives
and price curve model validation and development,
with a global remit across BP’s oil, gas, power,
commodities and carbon emissions activities. He now
regularly works on a consultancy basis in the energy
space.

5. R LANGUAGE
The workshop will be delivered in English.
DATE
8-9 May 2013, London, England
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) 708 55 65 62
FEES
ABOUT THE ORGANIZERS
Early Bird 2225 € (register before 22 March)
Standard price 2475€
MULTIPLE REGISTRATION DISCOUNT
Register two or more people from the same company
ENERGY EXPERT NETWORK and get a 10% discount per person.
The Energy Expert Network is a network of experts FOOD AND BEVERAGE
and hands-on energy market participants that provides Food and beverages will be provided to the
participants during the day. Specific wishes can be
companies with tailored courses. submitted to the organization.
The Energy Expert Network consists of the ‘best of the LAPTOP
Workshop participants are required to bring a laptop,
best’ industry experts, well known for their knowledge and which has installed both MS
experience in teaching energy industry professionals. Energy Excel (with Solver) and the econometrics package
Expert Network also provide open courses on fixed dates in GRETL.
co-operation with external experts.
DOCUMENTATION
Participants receive documentation, calculations and
exercises in a manual.