Energy Markets and Price Formation

Module: Energy Markets and Price Formation (6 Credits)
Name in diploma supplement	Energy Markets and Price Formation
Responsible	Prof. Dr. Christoph Weber
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) or oral exam (generally 20-40 minutes). The chosen examination method (written or oral exam) is defined by the lecturer during the first weeks of the lecture period. The lecturer decides at the beginning of the course whether additional bonus points for the exam may be reached ahead of the exam based on voluntary attestations, in the form of handed-in solutions to exercises. The exam has to be passed at least with a grade of 4,0 without consideration of this attestation bonus. In this case, the final grade results from the result of the addition of points from both the passed exam and the points earned from the attestations. The consideration of the attestation bonus is limited to a maximum of 15% of the points that can be reached in the final exam. The attestation bonus is only eligible for the exams belonging to the same semester.
Usage in different degree programs	BWL EaF Master > Pflichtbereich > 1.-2. Sem, Compulsory ECMX Master > Wahlpflichtbereich > ME5 Economics > 1.-3. Sem, Elective EnergySc Master > Fortgeschrittene Energiewissenschaft > 1. Sem, Elective LA gbF/kbF BK Master > Masterprüfung in der großen beruflichen Fachrichtung > Wahlpflichtbereich BWL, VWL, Recht, Statistik > Bereich BWL > 1.-3. Sem, Elective MedMan MedGW Master > Wahlpflichtbereich I > Bereich BWL > 1.-3. Sem, Elective MedMan WiWi Master > Wahlpflichtbereich II > Bereich BWL > 1.-3. Sem, Elective MuU Master > Wahlpflichtbereich III > Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive > 1.-3. Sem, Elective VWL Master > Wahlpflichtbereich I > 1.-3. Sem, Elective WiInf Master > Wahlpflichtbereich > Wahlpflichtbereich II: Informatik, BWL, VWL > Wahlpflichtmodule der Betriebswirtschaftslehre > 1.-3. Sem, Elective WiIng Master > Wahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft > 1.-3. Sem, Elective WiMathe Master > VWL-Energie > 1.-3. Sem, Elective
Elements	Lecture Energy Markets and Price Formation (3 Credits) Exercise Energy Markets and Price Formation (3 Credits)
Module: Energy Markets and Price Formation (WIWI‑M0668)

Lecture: Energy Markets and Price Formation (3 Credits)
Name in diploma supplement	Energy Markets and Price Formation
Organisational Unit	Lehrstuhl für Energiewirtschaft
Lecturers	Prof. Dr. Christoph Weber
Hours per week	2	Language	English
Cycle	summer semester	Participants at most	###LABEL_NOLIMIT###
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 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.e. Wiener process, mean-reversion process, ARMA and ARIMA formulation and implementation Valuating options: analytical methods (Black-Scholes, Bachelier, Margrabe), numerical methods (Monte-Carlo-Simulation), tree-building methods Game-theoretical approaches to price formation: standard oligopoly models (Cournot), supply function equilibria Summary of the models for the energy market, advantages and disadvantages
Literature Borchert, J.; Schemm, R.; Korth, S. (2006): Stromhandel – Institutionen, Marktmodelle, Pricing und Risikomanagement; Stuttgart. Burger, M.; Graeber, B.; Schindlmayer, G. (2014): Managing energy risk, 2nd edition. Wiley Finance. 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 (20159): Option, Futures and Other Derivatives, 9th 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./ Schäfer, R. (2012): Energiehandel in Europa, 3. Auflage, C.H.Beck.
Teaching concept Presentation, Discussion
Lecture: Energy Markets and Price Formation (WIWI‑C0814)

Exercise: Energy Markets and Price Formation (3 Credits)
Name in diploma supplement	Energy Markets and Price Formation
Organisational Unit	Lehrstuhl für Energiewirtschaft
Lecturers	Prof. Dr. Christoph Weber
Hours per week	2	Language	English
Cycle	summer semester	Participants at most	###LABEL_NOLIMIT###
Preliminary knowledge See lecture
Abstract Application of the methods presented in the lecture
Contents Tasks and examples of the material of the lecture Data research / Descriptive Statistics Price Analysis / Regression models Fundamental models / Reserve models Financial and econometric models / Stochastic Processes Valuating options Game Theory Models
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, i.e. using Microsoft Excel.
Exercise: Energy Markets and Price Formation (WIWI‑C0815)