: Summer Semester 23 - House of Energy Markets and Finance

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

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

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