Lectures SS 2018

Energy Markets and Price Formation


Energy Markets and Price Formation (Lecture)

  • Prof. Dr. Christoph Weber
Summer Semester 2018
Mi: 16.15 - 17:45 Uhr
A-B07 (Gebäude A, Altendorfer Straße 5 - 9, Eingang 1)
Lecture in Moodle
Lecture in LSF
Linked Lectures:

Learning Targets:

  • Energy markets classified according to energy sources and customer segments
  • Products in energy trading: spot market, forwards, futures, options, real options
  • Pricing in wholesale markets I: Fundamental analytic models, problem formulations and solving as computer models
  • Pricing in wholesale markets II: Financial and econometric models, i.a. Wiener process, mean-reversion process, GARCH–model formulation and implementation
  • Organization of energy trading in companies: organizational structure, IT-Support
  • Valuating options: analytical methods (Black-Scholes, Black, Margrabe), numerical methods (Monte-Carlo-Simulation), tree-building methods
  • Risk management in energy trading: legal basis, risk management system, risk classification, risk measurement – Greeks, Value-at-Risk, Profit-at-Risk
  • Emissions trading: legal and economic foundation, design and trading strategies
  • Perspectives of energy trading and future methodological developments


1. Introduction

2. Products and markets in energy trading

3. Fundamental analytical models

4. Financial mathematical and econometric models

5. Game theory models

6. Valuation of options

7. Conclusion


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