Preliminary knowledge

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

Principles of risk management in energy markets (risk positions, risk measures), analysis of transactions in energy markets (volatilities, correlations), structured products, principals of emissions trading, credit risk.

Contents

1. Spot and forwad price modeling in energy markets
2. Valuation of derivatives
3. Risk positions and risk measures
4. Modeling volatility and correlation in cross-commodity positions
5. Analysis and discussion of emission markets

Literature

• Burger, M.,  Graeber, B.  and Schindlmayr, G.: Managing Energy Risk: An Integrated View on Power and Other Energy Markets,  JohnWiley & Sons, 2007.
• Kaminiski, V.: Energy Markets, RISK books, 2013 
• Eydeland, A. and Wolyniec, K.: Energy and Power Risk Management, JohnWiley & Sons, 2003.
• Geman, H.: Commodities and Commodity Derivatives, JohnWiley&Sons, 2005.
• James, T. and Fusaro, P.C.: Energy and Emissions Markets , JohnWiley & Sons, 2006.

Teaching concept

Presentation, discussion

Participants

• BWL-EaF-Ma-2015 > Pflichtbereich > (2nd-3rd Semester, Compulsory) Modul "Structuring and Valuation"
• EnergySc-Ma-2016 > Fortgeschrittene Energiewissenschaft > (1st Semester, Elective) Modul "Structuring and Valuation"
• VWL-Ma-2009-V2013 > Wahlpflichtbereich II > (1st-3rd Semester, Elective) Modul "Structuring and Valuation"
• WiMathe-Ma-2013 > VWL-Energie > (1st-4th Semester, Elective) Modul "Structuring and Valuation"