Lecture

Structuring and Valuation

Name in diploma supplement

Lecture Structuring and Valuation

Organisational Unit

Lehrstuhl für Energiehandel und Finanzdienstleistungen

Lecturers

Prof. Dr. Rüdiger Kiesel

SPW

2

Language

English

Cycle

summer semester

Participants at most

no limit

Participants

• BWL EaF MasterPflichtbereich 2.-3. Sem, Compulsory, Module Structuring and Valuation
• ECMX MasterWahlpflichtbereichME5 Economics 1.-3. Sem, Elective, Module Structuring and Valuation
• EnergySc MasterFortgeschrittene Energiewissenschaft 1. Sem, Elective, Module Structuring and Valuation
• VWL MasterWahlpflichtbereich II 1.-3. Sem, Elective, Module Structuring and Valuation
• WiMathe MasterVWL-Energie 1.-4. Sem, Elective, Module Structuring and Valuation

Preliminary knowledge

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

Principles of risk management in energy markets (risk positions, risk measures), analysis of transactions in energy markets (volatilities, correlations), structured products, principals of emissions trading, credit risk.

Contents

1. Spot and forwad price modeling in energy markets
2. Valuation of derivatives
3. Risk positions and risk measures
4. Modeling volatility and correlation in cross-commodity positions
5. Analysis and discussion of emission markets

Literature

• Burger, M.,  Graeber, B.  and Schindlmayr, G.: Managing Energy Risk: An Integrated View on Power and Other Energy Markets,  JohnWiley & Sons, 2007.
• Kaminiski, V.: Energy Markets, RISK books, 2013 
• Eydeland, A. and Wolyniec, K.: Energy and Power Risk Management, JohnWiley & Sons, 2003.
• Geman, H.: Commodities and Commodity Derivatives, JohnWiley&Sons, 2005.
• James, T. and Fusaro, P.C.: Energy and Emissions Markets , JohnWiley & Sons, 2006.

Teaching concept

Presentation, discussion