MASTERCLASS: WIND DERIVATIVES - Modeling, calibration and valuation of wind derivatives

Amsterdam, The Netherlands
Fall 2016


This two-day training is specifically designed to expand the participants' knowledge and skills in interpreting weather risk analysis, wind turbine basics, as well as the modeling, calibration and valuation of wind and wind derivatives.

Depending on the experience levels of the participants, some parts of the training can be extended or shortened. The training is about wind derivatives, however, methods of modeling, calibration and pricing will also be discussed. There will also be time to explore the more practical sides of wind modeling in VBA, MATLAB or R.

A tentative program of the sessions in this training can be found below, however due to the high degree of overlap between the sessions, new content will build upon the material already covered, providing a seamless learning experience. There will be time for questions and discussions after the sessions.

This training is based on material developed in collaboration with Mercurious and the Delft University of Technology in the Netherlands.


Learning objectives

To acquire new insight, knowledge and perspectives on:

* Weather and wind risk

* Statistical behavior of wind

* Basics of wind turbines

* Basics on modeling and calibration

* Setting up a well-defined model

* Modeling wind speed and power

* Types of wind derivatives

* Pricing of wind derivatives


Target group

This program is specifically developed for people involved directly or indirectly with wind risk management in an energy company, people who trade weather derivatives at a trading company or PE firm, and general wind enthusiasts that want to know more about wind and weather modeling.



This training is characterized by a strong emphasis on interactivity, whereby the contribution of participants is of utmost importance. Theory and practice are combined, and the content of the training includes a combination of scientific frameworks, theorems and practical examples.



At the start of the training the participants will receive a syllabus with the learning material required for this specific program. This includes all relevant documents, such as the training set-up, definitions, examples and exercises.



"High level, good presentation"
"Open-minded atmosphere, interaction & communication"
"Great discussions amongst participants"




Session 1 - Weather and Wind Risk

* Types of weather risk

* Fields of weather risk

* Basic statistical properties of weather risk

* Translation of weather to dollars

* Translation of wind to dollars

* Insurance versus hedging

Exercise: Weather risk in practice, and insurance against weather risk

Exercise: Qualitative wind risk assessment


Session 2 - Basics of wind and wind turbines

* Origin of wind

* Characteristics of wind in Europe

* Drivers of wind speed

* Development of wind speeds in long and short term

* Correlation between wind sites

* Translation of wind to wind speed

* Wind turbine basics and development

* Efficiency / power curve

Exercise: Basics and nature of wind

Exercise: How does a wind turbine work


Session 3 - Basics of modeling and modeling weather

* Basics of modeling

* Definition of a well-defined model

* Choosing the right mathematical model

* Calibration in general

* Effects and pitfalls of calibrations

* Modeling of weather



Session 4 - Modeling of wind

* Modeling of wind

* Handling daily and yearly seasonal effects

* Handling distribution over different time scales

* Deseasonalizing and reseasonalizing data

* Mean reverting processes and their properties

* Choices of modeling components

* Wind speed

* Wind power

Exercise: Finding, and extracting seasonality from data

Exercise: Effects of calibration


Session 5 - Hedging wind risk

* Current wind derivatives market and ways of trading

* Types of wind derivatives

* Wind speed derivatives

* Wind power derivatives

* Wind index derivatives

* Options and Futures

* Swaps

* CSAs

* Caps and Floors

* Alternatives to derivatives

Exercise: Pay-off of a wind derivative contract

Exercise: Pay-off of a wind derivative contract


Session 6 - Pricing of wind derivatives and wind risk

* Risk measures for wind

* Finding the right ingredients for a wind mitigation contract

* Pricing methods

* Monte Carlo methods

* Faster and more advanced pricing methods

* Risk reduction

* Interpretation of prices

Exercise: Calculate exposure to wind risk

Exercise: Difference in prices of contracts



To be announced


Early Bird: 2,290 EUR excl. VAT. (register before 11 September)

Price: 2,590 EUR excl. VAT standard price

Multiple registration discount: Two participants from the same company registering at the same time will receive an additional 10% discount.

Request a brochure here

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