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:

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