Curso

En México

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Descripción

  • Tipología

    Curso

  • Dirigido a

    Para profesionales

  • Lugar

    México

  • Horas lectivas

    12h

Objetivo del curso: This course has been specifically designed to meet the industry and therefore would be beneficial to Senior Financial Engineers and Quantitative Analysts. A gen quantitative background to understand the mathematic pre-requisite for those attending. Destinatarios del curso: Fund Managers Asset Managers Traders Brokers Invidual Investors Risk Managers Regulators

Sedes y fechas disponibles

Ubicación

Inicio

México (Ciudad de México (Distrito Federal))
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Paseo de la Reforma No. 505, Delegación Cuauhtemoc,, 06500

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Consultar

Acerca de este curso

We recommend that the participants have medium or advanced mathematical skills level, risk management and/or trading experience in the financial Institutions.

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Profesores

Izzy  Nelken

Izzy Nelken

President and Founder Super Computer Consulting

Dr Nelken holds a Ph.D. in Computer Science from Rutgers University and was on the faculty at the University of Toronto. He teaches numerous courses and seminars around the world on a variety of topics including: credit risk management, credit derivatives, exotic options, financial engineering, volatility, energy, correlation and hybrid securities. He is also a lecturer at the prestigious mathematics department at the University of Chicago.

Programa académico

Energy Instruments and Market Characteristics

  1. The Structure and Operation of Energy Markets
  2. Characteristics of the Energy Markets
  3. Structures and Applications of Energy Instruments
  4. Hedging with futures, options and swaps
  5. Exotic Derivative Products

Modelling and Analysing Energy Products

  1. Methodologies for Pricing Derivative Products Used in Energy Markets
  2. Spreadsheet applications for pricing energy derivatives
  3. Analysis of different spot price methodologies: estimation of parameters; multiple underlyings; do the models fit reality?
  4. Forward Curve Models
  5. Real Options in the Energy Markets
  6. Weather Derivatives
  7. Modelling Weather Derivatives
  8. Modelling Weather Derivatives

Risk Management Applications

  1. Defining Risk
  2. Value-at-Risk for Energy Portfolios
  3. Estimation of volatility and correlations datasets from historical data
  4. Comparison of the tail of the distribution of portfolio returns under the three different methodologies and for different portfolio compositions

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Energy Derivatives

$ 25,000 más IVA