Modeling, calibration and valuation of wind derivativesWind Derivatives

24-25 February, 2014, Amsterdam

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IntroductionThis two day masterclass is specifi cally 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 objectivesAcquiring 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

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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.

TrainingThe masterclass has a strong interactive character whereby the contribution of participants is of utmost importance. Theory and practice are brought forward by means of offi cial defi nitions, scientifi c theories, practical exercises and cases.

Documentation Participants will be provided a syllabus with study material regarding this specifi c program. It contains all relevant documents, such as power point slides, factsheets, cases and exercises.

Wind DerivativesA masterclass in weather analysis, wind turbine basics and the modelling, calibration and valuation of wind and wind derivatives.

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ProgramDAY 1Session 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 eff ects ▶ 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 ▶ Effi ciency curve ▶ Translation of wind speed to amount of generated electricity

Exercise: Wind turbine: a case study

Session 4:Principles of modeling and calibration

▶ Defi nition of a ‘good’ model ▷ Accuracy ▷ Comprehension ▷ Running time

▶ Optimizing a model ▶ Eff ects of calibration

Exercise: ▶ Choosing the right model

Exercise: ▶ Calibrating a model

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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-fl oor 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 fi rm became a Member of Euronext Liff e, and had clearing-contracts with Fortis, KBC bank and Goldman Sachs. Over the years, Jerry has traded by open out-cry on the fl oors 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 LEEUWManaging Director Mercurious

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-fl oor of the European Option Exchange (EOE) in

LANGUAGEThe workshop will be delivered in English.

DATE 24-25 February, 2014, Amsterdam, The Netherlands

SCHEDULEEach day starts at 09.00 and finishes at 17.00hrs.

REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: Johanna.oberg@energy-expert-network.comPhone:+46 (0) 85 333 2599

FEESEarly Bird: 2290 EUR excl. VAT. (Register before 2nd of January)Standard Price: 2590 EUR excl. VAT

MULTIPLE REGISTRATION DISCOUNTRegister two people from the same company and receive an additional 10% discount.

FOOD AND BEVERAGEFood and beverages will be provided to theparticipants during the day. Specific wishes can besubmitted to the organization.

DOCUMENTATIONParticipants receive documentation, calculations andexercises in a manual.

ABOUT THE ORGANIZERS

ENERGY EXPERT NETWORKThe 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.