Experts in energy modeling, consulting and training!

KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.

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    Course outline

    Outline – day one

    Session 1:  Introduction to the power sector

    • Technologies
    • Explanation of costs
    • Financial evaluation of power stations

    Session 2:  How to build up the intrinsic value of a power plant    

    • Build-up of intrinsic value
    • Main methodologies to create HPFC as the basis for an intrinsic valuation
    • Impact renewables on power market; how to model impact renewable growth on future HPFC

    Session 3:  Valuation of spread options  

    • From intrinsic to extrinsic value
    • Treating the power plant as a spread of options
    • Application Margrabe’s/Kirk for spread options
    • Comparing and assessing optionality in (i) forward markets (ii) spot markets (iii) intra-day markets and (iv) balancing markets
    • Other spread options: cross-border capacity

    Session 4:  Monte Carlo price simulations and cointegration

    • Volatility term structure
    • Cointegration versus correlation
    • Effective simulation of spark and dark spreads
    • Impact cointegration on plant value

    Outline – day two

    Session 1:  Dispatch Optimization   

    • Plant constraints: technical, commercial, environmental
    • Broad comparison and short explanation of optimization techniques: Mixed integer Linear Programming (MILP), dynamic programming (DP), least-squares Monte Carlo (LSMC)

    Session 2:  Power plant hedging  

    • Purpose of hedging (risk reduction, profit optimization)
    • Delta, gamma, vega: what do the Greeks mean and how can they be used by trading?
    • Spread option formula to derive approximations of the option Greeks
    • Shock-based calculation of option Greeks (finite-difference)
    • Implementing delta hedging strategies in practice

    Session 3:  Evaluating renewable investments

    • Different incentive schemes for renewables and impact on the investment risk
    • Influence of wind and solar production on market prices: produce when prices are low
    • Who is going to provide future flexibility for the power market and how will this be paid for?

    Session 4:  Energy Trading Game

    Course leader: Cyriel de Jong