Intensive Programme: Finance and Energy Market

It is a specialized course which will be in the form of a Workshop on a hot topic, including both lectures and tutorials offered by the local teachers and by some distinguished guest experts.

All participants will obtain a certificate of attendance and a successful accomplishment of the course is worthy 6 ECTS that can be acknowledged within the Master program.

These courses are a unique opportunity to take part in an international event, to learn a specialized topic in finance in depth, to work in contact with an important companies and to experiment professional group work in a selected multinational team.

QF selected 20 students to take part in the following Universities: 

Andrea Bianchi, Hera S.p.a.: Industrial Partner

Tiziano Vargiolu, University of Padua: Quantitative methods for energy markets

In this module students will review some of the most common models used in energy markets, which are characterized by specific stylized facts like seasonality and mean-reversion. We will then see which are the most common techniques to price some derivative assets typical of energy markets, like options written on illiquid assets, Asian-like options and structured products, where the final customer has multiple optionalities that can be exercised.

Fabio Gobbi, University of Bologna: Introduction to programming in R

Students will be provided with an introduction to R as a statistical software, with applications to copulas, monte carlo pricing and numerical optimization.

Leonardo Bortolan, Prometeia: Lab Tutor

Suggested Preliminary Readings:

E. Edoli, S. Fiorenzani, T. Vargiolu. Optimization methods in gas and power markets. Palgrave MacMillan 2016

For further information click here.

Check here the class timetable.