The talk overviews some recent results in energy market modelling. It will include:

• explicit option pricing formula for a mean-reversion asset and variance and volatility swaps in energy markets;
• applications of weather derivatives in energy markets; pricing crude oil options using Le'vy processes;
• energy contracts modelling with delayed and jumped volatilities;
• applications of mean-reverting processes in Alberta energy markets;
• alternatives to the Black-76 model for options valuation of futures contracts.

We will also talk about the clean renewable energy vision in Canada, and, particularly in Alberta and Calgary. Current and future research in energy market modelling will be highlighted as well.

Bio: Dr. Anatoliy Swishchuk is a professor in mathematical finance at the Department of Mathematics and Statistics, University of Calgary, Calgary, Canada. He got his B.Sc. and M.Sc. degrees from Kyiv State University, Kyiv, Ukraine. He is a holder of two doctorate degrees in Mathematics and Physics (Ph. D. and D. Sc.) from the prestigious National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine, and is a recipient of NASU award for young scientist with a gold medal for series of research publications in random evolutions and their applications. Dr. Swishchuk is a chair and organizer of finance and energy finance seminar 'Lunch at the Lab' at the Department of Mathematics and Statistics. Dr. Swishchuk is a Director of Mathematical and Computational Finance Laboratory at the University of Calgary. He was a steering committee member of the Professional Risk Managers International Association (PRMIA), Canada (2006-2015), and is a steering committee member of Global Association of Risk Professionals (GARP), Canada (since 2015). Dr. Swishchuk is a creator of mathematical finance program at the Department of Mathematics & Statistics. He is also a proponent and creator for a new specialization "Financial and Energy Markets Data Modelling" in the Data Science and Analytics program. His research areas include financial mathematics, random evolutions and their applications, biomathematics, stochastic calculus, and he serves on editorial boards for several research journals. He is the author of more than 200 publications, including 17 books and more than 150 articles in peer-reviewed journals. In 2018 he received a Peak Scholar award.