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Day 1
8:30 Coffee and registration
9:00 Implementing models and numerical techniques
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Features required for stochastic modelling of the following data:
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Power, gas, oil and other fuel prices
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Temperature, wind
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Load/bid stacks
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Overview of modelling approaches
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Single factor models
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Multi factor models
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Hybrid models
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Parameter estimation
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Volatility, mean reversion, jump parameters
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Numerical Techniques
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Simulation
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Trinomial trees
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Lest squares Monte Carlo
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10:30 Morning break
11:00 Workshop 1: calibrating models and implementing Monte-Carlo simulations
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How to estimate mean reversion parameters
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How to estimate jump parameters
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How to estimate spot volatility
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Implementing Monte Carlo for mean reverting models
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Implementing antithetic techniques
12:30 Lunch
13:30 Valuing generation assets part 1: basic concepts and analytical
approaches to value thermal generation assets
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Overview of how to value financial power contracts: swaps, caps, floors and
collars, options, tolling agreements, power purchase agreements, financial
transmission rights and ancillary services
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Understanding the concept of generation assets as real options
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Operational parameters of generation assets
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Spark spread and spark spread options
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Intrinsic and extrinsic value
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How to apply the spread option approach to value generation assets
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Generator as a simple spark spread
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Incorporation of emissions
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Incorporation of start-up costs
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Optimising start-up costs
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Incorporation of hourly optionality
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15:00 Afternoon break
15:30 Workshop: Valuing generation assets as spread options
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How to value generation assets as a portfolio of spread options by analytic
expressions
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How to incorporate emissions into analytic calculations
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How to incorporate start-up costs into analytic calculations
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How to incorporate hourly optionality into analytic calculations
17:30 End of day one
Day 2
8:30 Coffee and registration
9:00 Valuing generation assets part 2: advanced concepts and analytical
approaches to value thermal, wind and hydro assets
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How to apply Monte-Carlo simulation techniques
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Spread options
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Real thermal unit properties
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Heuristic optimisation algorithms
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How to apply a gas heat rate power model
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Perfect foresight versus real-world dispatch
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Issues with perfect foresight
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Dispatch decision based on forward price
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How to apply trinomial trees/Least squares Monte Carlo methods
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Stochastic dynamic programming
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How to appropriately value
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Wind generators
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Pump storage
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Cascading hydro systems
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Compressed air energy storage
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10:30 Morning break
11:00 Workshop: Simulation based valuation of generation assets
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Monte Carlo evaluation of a spark spread generator model
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Monte Carlo evaluation with antithetic sampling of a spark spread generator
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Monte Carlo evaluation of a dual fuel unit
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Monte Carlo evaluation of a wind generator
12:30 Lunch
13:30 Hedging and risk management
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How to hedge generation assets
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'Delta' hedging
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Static hedging with portfolios of options
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How to define and calculate key risk metrics
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Value at risk
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Earning at risk/revenue at risk/gross margin at risk
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Potential future exposure
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How to perform scenario stress tests
15:00 Afternoon break
15:30 Workshop: Delta hedging generation assets
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Delta hedging of heat rate options
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How to calculate deltas for generation assets
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Earnings at risk for full requirements contracts
17:00 End of course
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Overview
