Lecture

Energy Markets and Price Formation

Name in diploma supplementEnergy Markets and Price Formation
Organisational Unit Lehrstuhl für Energiewirtschaft (http://www.ewl.wiwi.uni-due.de/)
LecturersProf. Dr. Christoph Weber
SPW2LanguageEnglish
Cyclesummer semesterParticipants at mostno 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 Master 2015>Pflichtbereich >Modul "Energy Markets and Price Formation"1st-2nd Semester, Compulsory
  • EnergySc Master 2016>Fortgeschrittene Energiewissenschaft >Modul "Energy Markets and Price Formation"1st Semester, Elective
  • LA gbF/kbF BK Master 2014>Masterprüfung in der großen beruflichen Fachrichtung >Wahlpflichtbereich BWL, VWL, Recht, Statistik >Bereich BWL >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
  • MuU Master 2013>Wahlpflichtbereich III >Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
  • VWL Master 2009-V2013>Wahlpflichtbereich I >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
  • WiInf Master 2010>Wahlpflichtbereich >Wahlpflichtbereich II: Informatik, BWL, VWL >Wahlpflichtmodule der Betriebswirtschaftslehre >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
  • WiIng Master 2008>Wahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
  • WiMathe Master 2013>VWL-Energie >Modul "Energy Markets and Price Formation"1st-3rd Semester, Elective
WIWI‑C0814 - Lecture: Energy Markets and Price Formation