Economics 608
Risk Management in Energy Markets
Spring 2019
Professor: Mahmoud A. El-Gamal
Classes: TTH 10:50--12:05
Office Hours: TTH 2:30--3:30
TA: TBA
Course Description:
This course introduces quantitative risk management techniques
often employed in the energy industry. The course is
methodologically self-contained and provides students hands-on
experience with state-of-the-art software to measure and manage
risk-adjusted returns of heterogeneous asset portfolios.
Applications will be conducted using statistical packages in R.
Textbook:
- Swindle, Glen. Valuation and Risk
Management in Energy Markets, NY: Cambridge University
Press, 2014.
Tentative syllabus:
- Week 1 --
January 8, 10: Forwards and Carry (Chs. 1-3)
- Week 2 --
Jan 15, 17: Risk Neutral Valuation (Ch. 4)
- Week 3
-- Jan 22, 24: Dynamics of Forwards (Ch. 5)
- Week 4
-- Jan 29, 31: Swap Books (Ch. 6)
- Week 5
-- Feb 5: Term Structure of Volatility (Ch. 7)
- Spring
Recess -- February 7
- Week 6
-- Feb 12, 14: Skew (Ch. 8)
- Week 7
-- Feb 19, 21: Correlation (Ch. 9)
- Week 8
-- Feb 26, 28: Covariance, Spot Prices and Factor Models
(Ch. 10)
- Week 9
-- Mar 5, 7: Gaussian Exponential Factor Models (Ch. 11)
- Spring
Break -- March 12, 14
- Week 10
-- Mar 19,21: Modeling Paradigms (Ch. 12)
- Week 11
-- Mar 26, 28: Natural Gas Storage (Ch. 13)
- Week 12
-- Apr 2, 4: Tolling Deals (Ch. 14)
- Week 13
-- Apr 9, 11: Variable-Quantity Swaps (Ch. 15)
- Week 14
-- Apr 16, 18: Control, Risk Metrics and Credit (Chs.
16-17)
Grading:
-
Homeworks: 40%
- Two
exams: 30% + 30%