Pre-conference workshop, May 13, 2013
RISK CALCULATION FOR ENERGY DERIVATIVES
Led by:
Roza Galeeva, Executive Director, MORGAN STANLEY
08.30 Registration and coffee
9.00 Envelope theorem for commodity options
- Commodity derivatives as optimizations
- Role of exercise boundary in Greeks calculations
- Examples
10.30 Coffee break
11.00 Operator calculus to calculate Greeks for European style options and applications for commodity derivatives
- Black-Scholes-Merton model
- Generalisation to multi asset case and jumps
- Applications to spread options , baskets
12.30 Lunch
13.30 Adjoint Greeks for energy derivatives
- Algorithmic differentiation (AD) and pathwise derivatives for MC Greeks
- Forward and backward modes for AD
15.00 Coffee break
15.30 Applications for commodity derivatives
- APO, spread APO
- Tolling deals with MC
17.00 End of workshop
