Vorlesung

Structuring and Valuation

Name im Diploma Supplement

Lecture Structuring and Valuation

Anbieter

Lehrstuhl für Energiehandel und Finanzdienstleistungen

Lehrperson

Prof. Dr. Rüdiger Kiesel

SWS

2

Sprache

englisch

Turnus

Sommersemester

maximale Hörerschaft

unbeschränkt

Hörerschaft

• BWL EaF MasterPflichtbereich 2.-3. FS, Pflicht, Modul Structuring and Valuation
• ECMX MasterWahlpflichtbereichME5 Economics 1.-3. FS, Wahlpflicht, Modul Structuring and Valuation
• EnergySc MasterFortgeschrittene Energiewissenschaft 1. FS, Wahlpflicht, Modul Structuring and Valuation
• VWL MasterWahlpflichtbereich II 1.-3. FS, Wahlpflicht, Modul Structuring and Valuation
• WiMathe MasterVWL-Energie 1.-4. FS, Wahlpflicht, Modul Structuring and Valuation

empfohlenes Vorwissen

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.

Lehrinhalte

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

Literaturangaben

• 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.

didaktisches Konzept

Presentation, discussion