Course Syllabus

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Economics 608: Risk Management in Energy Industry -- Spring 2019

Professor: Mahmoud A. El-Gamal

TA: Peter Volkmar

 Textbook (not required): Swindle, Glen. Valuation and Risk Management in Energy Markets, NY: Cambridge University Press, 2014.

Classes: TR 10:50--12:05, BKH 229

TA Labs: F 8:30--9:45, BKH 229

Office Hours: TR 2:30--3:30 or by appt, BKH 240

 

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.

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, Linear Hedging (Ch. 5)
  • Week 4 -- Jan 29, 31: Primer on Option Pricing, Swap Books (Ch. 6)
  • Week 5 -- Feb 5:  More on Options
  • Spring Recess -- February 7
  • Week 6 -- Feb 12, 14: Term Structure of Volatility, Skew (Chs. 7-8)
  • 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: More on Financial Time Series Modeling and Estimation
  • Spring Break -- March 12, 14
  • Week 10 -- Mar 19, 21: Modeling Paradigms for storage and tolling (Ch. 12)
  • Week 11 -- Mar 26, 28: Natural Gas Storage, Tolling Deals (Chs. 13-14)
  • Week 12 -- Apr 2, 4: Variable-Quantity Swaps, Risk Metrics (Chs. 15-17)
  • Week 13 -- Apr 9, 11: Continuous Wavelet Transform for Frequency Domain Analysis
  • Week 14 -- Apr 16, 18: Discrete Wavelet Transforms and Forecasting

Grading:

  • Homeworks: 40%
  • Two exams: 30% + 30%

 

Course Summary:

Date Details Due