Lecture

Energy Markets and Price Formation

Name in diploma supplement

Energy Markets and Price Formation

Organisational Unit

Lehrstuhl für Energiewirtschaft

Lecturers

Prof. Dr. Christoph Weber

SPW

2

Language

English

Cycle

summer semester

Participants at most

no limit

Participants

• BWL EaF MasterPflichtbereich 1.-2. Sem, Compulsory, Module Energy Markets and Price Formation
• ECMX MasterWahlpflichtbereichME5 Economics 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• EnergySc MasterFortgeschrittene Energiewissenschaft 1. Sem, Elective, Module Energy Markets and Price Formation
• LA gbF/kbF BK MasterMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• MedMan MedGW MasterWahlpflichtbereich IBereich BWL 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• MedMan WiWi MasterWahlpflichtbereich IIBereich BWL 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• MuU MasterWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• VWL MasterWahlpflichtbereich I 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• WiInf MasterWahlpflichtbereichWahlpflichtbereich II: Informatik, BWL, VWLWahlpflichtmodule der Betriebswirtschaftslehre 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• WiIng MasterWahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft 1.-3. Sem, Elective, Module Energy Markets and Price Formation
• WiMathe MasterVWL-Energie 1.-3. Sem, Elective, Module Energy Markets and Price Formation

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.e. Wiener process, mean-reversion process, ARMA and ARIMA formulation and implementation
5. Valuating options: analytical methods (Black-Scholes, Bachelier, Margrabe), numerical methods (Monte-Carlo-Simulation), tree-building methods
6. Game-theoretical approaches to price formation: standard oligopoly models (Cournot), supply function equilibria
7. 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