89899 - SEM.INTENSIVE PROGRAMME: ADVANCED TOPICS IN QUANTITATIVE METHODS IN FINANCE

Course Unit Page

Academic Year 2018/2019

Learning outcomes

This intensive programme aims to provide students critical skills to be able to understand key concepts and tools to analyse energy sector and markets. In particular, students will deepen their knowledge of key technical and quantitative tools and topics in energy policy, business and green energy finance to address several issues concerning the energy market.

Course contents

The strategic role of the energy sector in the development of the world economy and the arguments concerning his sustainability deserves a deep knowledge of this market in order to recognize the social and political relevance of the risks involved. For instance, the possibility of extreme price movements contributes to increase the risk of trading in electricity markets. Moreover, a number of standard financial tools cannot be readily applied to pricing and hedging electricity derivatives because of the peculiarities of this commodity. The program shall provide a thorough understanding of energy industry fundamentals; it shall examine economics, environmental and social policies as well as the impact of technological change on the future role of energy in the global economy.

Therefore, this intensive programme aims to provide students critical skills to be able to understand key concepts and tools to analyse energy sector and markets. In particular, students will deepen their knowledge of key technical and quantitative tools and topics in energy policy, business and green energy finance to address several issues concerning the energy market.

Intensive Programme schedule:

Dott. Andrea Bianchi, Hera Spa. industrial Partner 

March 11, 2019, 15-17: Introduction of Hera Spa and projects' assignment

March 22, 2019, 10-12: Presentation/discussion of the projects.

Prof.ssa Irene Monasterolo, WU Vienna.

March 12, 2019, 11-13 and 15-17: Climate Economics and Finance

March 13, 2019, 11-12 and 16-19: Climate Economics and Finance

March 14, 2019, 12-14: Climate Economics and Finance

Prof. Tiziano Vargiolu, University of Padua.

March 14, 2019, 15-20: Quantitative methods for Energy market

March 15, 9-14: Quantitative methods for Energy market

Dott. Giacomo Maria Bressan.

March 18, 2019, 9-12: Matlab for quantitative finance-Programming support

March 19, 2019, 11-14: Matlab for quantitative finance-Programming support

Readings/Bibliography

Suggested Preliminary Reading:

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

References

  • Lamperti, F., Monasterolo, I., Roventini, A. (2019). Climate Risks, Economics and Finance: Insights from Complex Systems. In: The Systemic Turn in Human and Natural Sciences. A Rock in The Pond, Hrsg. Ulivi, L. 1-23. Contemporary Systems Thinking: Springer.
  • Batten, Sandra and Sowerbutts, Rhiannon and Tanaka, Misa, Let's Talk About the Weather: The Impact of Climate Change on Central Banks (May 20, 2016). Bank of England Working Paper No. 603. Available at SSRN: https://ssrn.com/abstract=2783753
  • Silver, N., 2017. Blindness to risk: why institutional investors ignore the risk of stranded assets. Journal of Sustainable Finance & Investment, 7(1), pp.99-113.
  • Ehlers, T. and Packer, F., 2017. Green bond finance and certification. BIS Quarterly Review September.
  • Battiston S., Mandel A, Monasterolo I., Schuetze F. & G. Visentin (2017). A Climate stress-test of the EU financial system. Nature Climate Change, 7, 283–288.

 

Teaching methods

This Intensive Programme is a unique opportunity to take part in an international event, to deepen your knowledge on current challenges for energy markets, to work in contact with an important financial company and to experiment professional group work in a multinational team.

The course is organized in the form of a workshop including both lectures and tutorials offered by local teachers and distinguished guest experts. The classes will provide students both a theoretical and methodological background to analyse the relation between energy markets and climate-related financial risks triggered from technological and policy shocks involving the energy sector. In particular, by attending the classes students will acquire an understanding on the key challenges for energy markets in the low-carbon transition, of the institutional actors involved (including policy makers, private and public financial institutions, financial regulators) and the policies discussed (e.g. the so-called “carbon-tax”). Further it will introduce students to state-of-the-art financial metrics and methods to assess the economic and financial implications (in terms of business models and portfolios’ management strategies) of climate risks and climate policies for the energy sector.

Intercultural learning will be an integral part of the onsite local course experience. In addition to the diversity of the case group, consisting of students that will represent each of the four participating higher education institutions, a local expert will provide an input into topics such as cross cultural training, intercultural stimulation, cultural awareness training, and how to work in international teams.

Assessment methods

Students will be evaluated through a test concerning the two theoretical/methodological lectures. They will receive a score out of 30 Points. The test will be organized in two parts and submitted to the students during the last lessons of the two theoretical courses, i.e. in March 14 and March 15.

Moreover the students will be evaluated in the project teamwork. A commission composed by the person having in charge the programme and a representative person of the industrial partner will evaluate the oral presentation of the project. A score out of 30 points will be assigned.

The final score will be evaluated as the weighted mean of the individual tests (30%) and the teamwork (70%).

Teaching tools

Teaching tools concerning the theoretical lessons will be blackboard and slides. On the other hand the methodological lectures, aiming to the implementation of the team project, will be organized in the computer lab. 

Office hours

See the website of Silvia Romagnoli