Stochastic Optimisation and Derivatives for Energy Traders
------ Instructor ----
Dr. Alan Holland,
Cork Constraint Computation Centre,
Department of Computer Science, UCC.
Email: a.holland AT 4c.ucc.ie
----- Gas Storage Optimisation Software
-----
This software uses a stochastic model of gas prices and real options theory to advise on optimal injection/withdrawal policies for the Rough Storage facility.
Download Windows Zip file here.
Documentation, including installation instructions. (PDF)
Software License
----- Course Description
-----
This course aims to educate attendees about the random nature of assets in the financial markets. It also describes how the financial derivatives, and options in particular, can be used to manage risk.
----- Lectures
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Lectures commence on October 4th, at 4pm at Bord Gais Headquarters. There will be 17 classes, each 2 hours long, that are due to finish in early February. Some of these classes will involve practical sessions.
----- Recommended Texts
-----
Paul Wilmott, 'Paul Wilmott introduces Quantitative Finance', Wiley, 2001.
John C. Hull, 'Options, Futures and Other Derivatives', Prentice-Hall, 2003.
----- Lecture Slides/Handouts
-----
1. Introduction to Financial Products to Manage Risk
2. Derivatives
3. Derivatives continued, Exercise 1, Solutions
4. Basic Mathematics and Statistics, Exercise 2, Solutions
5. Binomial Trees, Binomial Model Spreadsheet, Exercise 3
6. Random Behaviour of Assets, Random Behaviour Spreadsheet
7. Stochastic calculus
8. Gas Storage Valuation and Optimisation (part I), Sample Stochastic Processes
9. Gas Storage Valuation and Optimisation (part II)
10. Black-Scholes
11. Black-Scholes and the 'Greeks'
