{"componentChunkName":"component---src-templates-course-unit-page-tsx","path":"/en/courseunit/stat3170/","result":{"data":{"translations":{"edges":[{"node":{"context":{"locale":"fi","code":"STAT3170","title":"Stochastic Methods of Energy Markets"},"path":"/fi/opintojakso/stat3170/"}},{"node":{"context":{"locale":"en","code":"STAT3170","title":"Stochastic Methods of Energy Markets"},"path":"/en/courseunit/stat3170/"}}]},"SISU":{"courseUnit":[{"id":"otm-735b691f-4bb8-3e60-a60f-003eadc8e36c","code":"STAT3170","name":{"en":"Stochastic Methods of Energy Markets","fi":"Stochastic Methods of Energy Markets","sv":"Stochastic Methods of Energy Markets"},"credits":{"max":5,"min":5},"studyLevel":null,"possibleAttainmentLanguages":[{"name":{"en":"English","fi":"englanti","sv":"engelska"}}],"responsibleOrganisations":[],"coordinatingOrganisations":[],"curriculumPeriods":[],"cooperationNetworkDirection":"INBOUND","cooperationNetworks":[{"targetGroups":null,"description":null,"cooperationNetwork":{"abbreviation":"vaasaval","name":{"en":"Vaasa Higher Education Consortium","fi":"Vaasan korkeakoulukonsortio","sv":"Vasa högskolekonsortium"}}},{"targetGroups":[{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":["jy-DP-21321","jy-DP-13215","otm-157daa3c-6f87-4d1d-86e2-5f2ed9872b58","jy-DP-13221","jy-DP-21280"],"phase2OptionGroupIds":null,"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":null,"phase2OptionChildGroupIds":null,"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null},{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":null,"phase2OptionGroupIds":["jy-DP-15471","jy-DP-13215"],"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":null,"phase2OptionChildGroupIds":null,"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null},{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":["otm-af81f116-e2c7-4ddd-a995-b5a3f769efd0"],"phase2OptionGroupIds":null,"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":["otm-7115fcfa-a836-4071-87dd-12907142ff6e"],"phase2OptionChildGroupIds":null,"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null},{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":["otm-d4ca8e88-2100-4732-9b27-613c74807e98"],"phase2OptionGroupIds":null,"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":["otm-56907236-443b-46cc-82cd-4f5f900be109"],"phase2OptionChildGroupIds":null,"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null},{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":["otm-141caed2-2906-4382-8115-8a32f8aea2d9"],"phase2OptionGroupIds":null,"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":["otm-a1152c89-5848-4824-b84c-d9b9366c8de3"],"phase2OptionChildGroupIds":null,"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null},{"activePhase":null,"educationIds":null,"educationTypes":null,"organisationIds":null,"educationGroupIds":null,"phase1OptionGroupIds":null,"phase2OptionGroupIds":["otm-141caed2-2906-4382-8115-8a32f8aea2d9"],"parentOrganisationIds":null,"learningOpportunityIds":null,"phase1OptionChildGroupIds":null,"phase2OptionChildGroupIds":["otm-a1152c89-5848-4824-b84c-d9b9366c8de3"],"phase1EducationClassificationUrns":null,"phase2EducationClassificationUrns":null}],"description":{"en":"<p>This course is offered through the Network for Advanced Studies in Mathematics. These studies are available for the following degree students:</p><ul><li>Bachelor's Degree Programme in Mathematics</li><li>Master's Degree Programme in Mathematics</li><li>Bachelor's Degree Programme in Mathematics (Subject Teacher)</li><li>Master's Degree Programme in Mathematics&nbsp;(Subject Teacher)</li><li>Bachelor's Degree Programme in Mathematics, Chemistry or Physics Subject Teacher Education and Primary Teacher Education (Specialication in Mathematics)</li><li>Master's Degree Programme in Mathematics, Chemistry or Physics Subject Teacher Education and Primary Teacher Education (Specialication in Mathematics)</li><li>Doctoral Programme in Mathematics and Statistics</li><li>Doctoral Programme in Mathematics and Science (Specialication in Mathematics)</li><br></ul>","fi":"<p>Tämä opintojakso on tarjolla Matematiikan syventävät opinnot -ristiinopiskeluverkostossa. Verkoston opinnot ovat tarjolla seuraaville opiskelijoille:</p><ul><li>Matematiikan kandidaattiohjelma</li><li>Matematiikan maisteriohjelma</li><li>Matematiikan aineenopettajien kandidaattiohjelma</li><li>Matematiikan aineenopettajien maisteriohjelma</li><li>Matematiikan, kemian tai fysiikan aineenopettajan ja luokanopettajan kandidaattiohjelma (matematiikan opintosuunta)</li><li>Matematiikan, kemian tai fysiikan aineenopettajan ja luokanopettajan maisteriiohjelma (matematiikan opintosuunta)</li><li>Matematiikan ja tilastotieteen tohtoriohjelma</li><li>Matemaattisten tieteiden ja luonnontieteiden tohtoriohjelma (matematiikan opintosuunta)</li><br></ul>"},"cooperationNetwork":{"abbreviation":"matematiikansyventavat","name":{"en":"Cross-institutional studies in advanced courses in mathematics and statistics","fi":"Matematiikan ja tilastotieteen syventävien kurssien ristiinopiskelu","sv":"Korsstudier i fördjupade kurser i matematik och statistik"}}}],"gradeScaleId":"sis-0-5","outcomes":{"en":"The liberalization of energy markets in many regions has led to new electricity\r\nand gas markets with increasing trading volumes. Producers have started trad-\r\ning energy, and particularly after the 2007/2008 financial crisis, they are now\r\nsubject to regulations similar to those in the banking industry. Consequently,\r\nthe modeling of physical assets, like hydro power plants or gas-fired plants, is\r\naddressed using real option approaches from financial mathematics.\r\nEnergy and commodity markets exhibit unique characteristics and are based\r\non different fundamentals than pure financial markets. Energy and commodity\r\nprices often depend on physical constraints and are seen as volatile and erratic.\r\nThese aspects require robust and complex mathematical modeling by risk man-\r\nagement units and trading desks.\r\nThis course provides students with a solid foundation in stochastic methods\r\nfor energy markets, equipping them with both theoretical and computational\r\nskills suited for careers as quantitative analysts, risk managers, or traders in\r\ncommodity trading houses, energy companies, banks, insurance firms, and con-\r\nsulting companies."},"tweetText":null,"content":{"en":"5.1\r\n1. Introduction to Energy Markets.\r\n1.1 Stylized facts in energy markets,\r\n1.2 Basic contracts (day-ahead prices, forward prices, swaps).\r\n1.3 Derivative contracts for physical assets: calls/puts, Asians, spreads, power\r\nplants, swings, storages, weather derivatives.\r\n\r\n2. Forward Models: Brownian Motion\r\n2.1. Brief recap on Ito calculus.\r\n2.2. Black-Scholes-Merton and Black 76 formulas.\r\n2.3. Brownian motion and geometric Brownian notion. Multi- factor forward\r\nmodels.\r\n\r\n 3. Spot Models: Ornstein-Uhlenbeck Processes\r\n5.1. Ornstein-Uhlenbeck processes, one-factor spot models.\r\n5.2. Multi-factor spot models, regime-switching models.\r\n\r\n4. Some Notes on Lévy and Jump-diffusion Processes\r\n4.1. Jump-diffusion processes, e.g. compound Poisson, Kou model.\r\n4.2. Pure jump processes, e.g. Gamma, IG, VG, and NIG.\r\n\r\n5. Pricing Contracts in practice\r\n5.1. Monte Carlo methods in Python.\r\n5.2. Pricing spread options.\r\n5.3. Pricing weather derivatives\r\n4. Pricing Storages"},"additional":null,"prerequisites":{"en":"(Recommended)\r\n\r\n• Probability\r\n• Stochastic Analysis\r\n• Basic Programming in Python"},"compulsoryFormalPrerequisites":[],"recommendedFormalPrerequisites":[],"literature":[],"learningMaterial":null,"completionMethods":[]}],"prerequisiteCourseUnit":[],"prerequisiteModule":[]},"prerequisiteCourseUnitPage":{"nodes":[]},"prerequisiteModulePage":{"nodes":[]},"parentModulePage":{"nodes":[]}},"pageContext":{"type":"courseUnit","locale":"en","title":"Stochastic Methods of Energy Markets","id":"otm-735b691f-4bb8-3e60-a60f-003eadc8e36c","code":"STAT3170","prerequisiteCourseUnitIds":[],"prerequisiteModuleIds":[],"parentModuleIds":[],"curriculumPeriodStartDate":"2026-08-01","curriculumPeriodEndDate":"2027-08-01","coordinatingOrgIds":[],"searchable":false,"searchTags":null,"organisationIds":["otm-782862a5-b935-3b44-ab15-f88428a5a6b7"],"organisations":[],"attainmentLanguages":["en"],"hasSummerStudies":false,"teachingPeriods":[],"cooperationNetworkDirection":"INBOUND","hasCooperationNetworkSettings":true,"hasAvoinTeaching":false}}}