Summer Semester 23

Energy Markets and Price Formation

Lecture

Energy Markets and Price Formation (Lecture)

Lecturer:
  • Prof. Dr. Christoph Weber
Contact:
Term:
Summer Semester 2023
Cycle:
Sommersemester
Time:
Di 10:00 Uhr - 12:00 Uhr
Room:
R12 R04 B21
Start:
04.04.2023
End:
11.07.2023
Language:
English
Moodle:
Lecture in Moodle
LSF:
Lecture in LSF
Participants:
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

Outline:

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

Literature:

  • Borchert, J.; Schemm, R.; Korth, S. (2006): Stromhandel – Institutionen, Marktmodelle, Pricing und Risikomanagement; Stuttgart.
  • Burger, M.; Graeber, B.; Schindlmayer, G. (2008): Managing energy risk, Wiley Finance.
  • Clewlow, L.; Strickland, C. (2000): Energy Derivatives. Pricing and risk management; London.
  • Edwards, D. (2010): Energy trading & Investing, McGraw-Hill.
  • Hassler, U. (2007): Stochastische Integration und Zeitreihenmodellierung: Eine Einführung mit Anwendungen aus Finanzierung und Ökonometrie, Springer.
  • Horstmann, K.-P.; Cieslarczyk, M. (Hrsg.) (2006): Energiehandel – Ein Praxishandbuch; Köln.
  • Hull, J. C (2009): Option, Futures and Other Derivatives, 7th edition, Upper Saddle River
  • Ronn, E. (2002) (Hrsg.): Real Options and Energy Management; London.
  • Pilipovic, D. (1998): Energy Risk. New York et al.
  • Rieger, O. (2009): Optionen, Derivate und strukturierte Produkte, Schäffer-Poeschel.
  • Schiffer, H.-W. (2010): Energiemarkt Deutschland, TÜV Media.
  • Schwintowski, H.-P. (Hrsg.) (2006): Handbuch Energiehandel; Berlin.
  • Weber, C. (2005): Uncertainty in the Electric Power Industry: Methods and Models for Decision Support; Berlin.
  • Weron, R. (2014): Electricity price forecasting: A review of the state-of-the-art with look into the future, in: International Journal of Forecasting, Jg. 30, S. 1030-1081.
  • Zenke, I.; Schäfer, R. (2012): Energiehandel in Europa, 3. Auflage, C.H.Beck.