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
EQuanT bootcamp - Quantitative Analysis and Modelling for Energy Trading & Risk management
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
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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. -E-Qu∂nT- bootcamp
7th-9th November 2013
Rome, Italy
1st edition
Day 2 (8/11/2013):
• Basic reduced-form stochastic processes
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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
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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
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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
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Risk Metrics, factors, models and measures (VaR, ES, CFaR, CVaR)
Primer on risk management analytical and numerical techniques
• Application to energy trading strategies
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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. -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
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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
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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. -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