Winter Semester 24/25

The course provides a thorough overview of recent developments in energy and commodities markets, modeling approaches for these markets as well as of valuation methods for energy derivatives and risk management techniques.

Students

• are familiar with the structure of energy markets.
• are able to work with standard models for energy- and commodity markets.
• can valuate financial and energy-related assets, derivatives written on these underlyings and basic structured products.
• understand some of the important regulatory and financial concepts underlying the energy markets as well as othercommoditiy markets.

1. Principles of energy spot – and forward markets
2. Futures, forwards and swaps
3. Mathematical models for energy markets and energy price processes
4. Modelling and valuation of derivatives used in energy markets Risk management in energy markets

• Burger, M., Graeber, B. and Schindlmayr. G.: Managing Energy Risk: An Integrated View on Power and Other Energy Markets, John Wiley &Sons, 2007
• Kaminiski, V.: Energy Markets, RISK books, 2013
• Eydeland, A. and Wolyniec, K.: Energy and Power Risk Management, John Wiley & Sons, 2003
• Geman, H.: Commodities and Commodity Derivatives, John Wiley & Sons, 2005
• James, T.: Energy Markets: Price Risk Management and Trading, John Wiley & Sons, 2008.

Written exam (90 minutes)

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