Academic Catalog

IAM753 SPECIAL TOPICS STOCHASTIC ENERGY PRICING MODELS

Course Code:	9700753
METU Credit (Theoretical-Laboratory hours/week):	3(3-0)
ECTS Credit:	8.0
Department:	Institute Of Applied Mathematics
Language of Instruction:	English
Level of Study:	Graduate
Course Coordinator:	Prof.Dr. AYÞE SEVTAP KESTEL
Offered Semester:	Fall or Spring Semesters.

Course Content

The course will focus on making the models and analysis operational in practical applications. Techniques for estimation and calibration are presented. in addition to methods for numerical simulation. Introduction to dynamic stochastic models for prices in commodity and energy markets. Classical factor models. the stochastic processes driven by Brownian motion and simple jump processes. dynamic modelling of temperature. wind and sun. analyses of energy markets.