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Module

Energy Markets and Price Formation

Name in diploma supplement
Energy Markets and Price Formation
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 45 hours
  • Preparation, follow up: 75 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students taking the course will

  • gain knowledge of products in energy trading
  • get familiar with modern concepts and methods of analyzing the pricing on energy markets
  • learn how to describe and use procedures of fundamental and mathematical-econometric market analyses
Relevance

A great deal of the presented knowledge and methods is used and required in business operations of energy companies. Aside from general competences on all stages of the value chain of electricity, particular emphasis is placed on the fields of energy trading and controlling.

Module Exam

Written exam (generally 60-90 minutes).

Usage in different degree programs
  • BWL-EaF-Ma-2015 Pflichtbereich 1st-2nd Sem, Compulsory
  • EnergySc-Ma-2016 Fortgeschrittene Energiewissenschaft 1st Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der großen beruflichen Fachrichtung Wahlpflichtbereich BWL, VWL, Recht, Statistik Bereich BWL 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I 1st-3rd Sem, Elective
  • WiInf-Ma-2010 Wahlpflichtbereich Wahlpflichtbereich II: Informatik, BWL, VWL Wahlpflichtmodule der Betriebswirtschaftslehre 1st-3rd Sem, Elective
  • WiIng-Ma Wahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie 1st-3rd Sem, Elective
Elements
Name in diploma supplement
Energy Markets and Price Formation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in the field of investment and financing as well as general business administration is required. Knowledge of statistics and operations research would be an advantage.

Abstract

Presentation of modern concepts and methods of analysis and decision support in energy trading.

Contents
  1. Energy markets classified according to energy sources and customer segments
  2. Products in energy trading: spot market, forwards, futures, options, real options
  3. Pricing in wholesale markets I: Fundamental analytic models, problem formulations and solving as computer models
  4. Pricing in wholesale markets II: Financial and econometric models, i.a. Wiener process, mean-reversion process, GARCH–model formulation and implementation
  5. Organization of energy trading in companies: organizational structure, IT-Support
  6. Valuating options: analytical methods (Black-Scholes, Black, Margrabe), numerical methods (Monte-Carlo-Simulation), tree-building methods
  7. Risk management in energy trading: legal basis, risk management system, risk classification, risk measurement – Greeks, Value-at-Risk, Profit-at-Risk
  8. Emissions trading: legal and economic foundation, design and trading strategies
  9. Perspectives of energy trading and future methodological developments
Literature
  • Borchert, J.; Schemm, R.; Korth, S. (2006): Stromhandel – Institutionen, Marktmodelle, Pricing und Risikomanagement; Stuttgart.
  • Clewlow, L.; Strickland, C. (2000): Energy Derivatives. Pricing and risk management; London.
  • 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 E. Ronn (ed.): Real Options and Energy Management; London.
  • Pilipovic, D. (1998): Energy Risk. New York et al.
  • Schwintowski, H.-P. (Hrsg.) (2006): Handbuch Energiehandel; Berlin.
  • Weber, C. (2005): Uncertainty in the Electric Power Industry: Methods and Models for Decision Support; Berlin.
  • Zenke, I./ Ellwanger, N. (Hrsg.) (2003): Handel mit Energiederivaten, München.
Teaching concept

Presentation, Discussion

Participants
  • BWL-EaF-Ma-2015 Pflichtbereich Modul "Energy Markets and Price Formation" 1st-2nd Sem, Compulsory
  • EnergySc-Ma-2016 Fortgeschrittene Energiewissenschaft Modul "Energy Markets and Price Formation" 1st Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der großen beruflichen Fachrichtung Wahlpflichtbereich BWL, VWL, Recht, Statistik Bereich BWL Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiInf-Ma-2010 Wahlpflichtbereich Wahlpflichtbereich II: Informatik, BWL, VWL Wahlpflichtmodule der Betriebswirtschaftslehre Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiIng-Ma Wahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
Lecture: Energy Markets and Price Formation (WIWI‑C0814)
Name in diploma supplement
Energy Markets and Price Formation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

See lecture

Abstract

Application of the methods presented in the lecture

Contents

Tasks and examples of the material of the lecture

  1. Data research / Descriptive Statistics I
  2. Regression models
  3. Linear programming
  4. Fundamental models
  5. Financial and econometric models
  6. Valuating options
  7. Greeks / Hedging / VaR
Literature

See lecture

Teaching concept

Self-contained and guided solution of exercises. Students should present and discuss their solution proposals. Parts of the modelling and applications are taught using computers.

Participants
  • BWL-EaF-Ma-2015 Pflichtbereich Modul "Energy Markets and Price Formation" 1st-2nd Sem, Compulsory
  • EnergySc-Ma-2016 Fortgeschrittene Energiewissenschaft Modul "Energy Markets and Price Formation" 1st Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der großen beruflichen Fachrichtung Wahlpflichtbereich BWL, VWL, Recht, Statistik Bereich BWL Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiInf-Ma-2010 Wahlpflichtbereich Wahlpflichtbereich II: Informatik, BWL, VWL Wahlpflichtmodule der Betriebswirtschaftslehre Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiIng-Ma Wahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie Modul "Energy Markets and Price Formation" 1st-3rd Sem, Elective
Exercise: Energy Markets and Price Formation (WIWI‑C0815)
Module: Energy Markets and Price Formation (WIWI‑M0668)