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227-0730-00L 6 Credits MSC D-USYS , D-ERDW , D-MAVT , D-ITET

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Power Market II - Modeling and Strategic Positioning

Lecturers & Examiners: Dr. Dieter Reichelt, Dr. Gaudenz Alesch Koeppel

VVZ CR n/a

Last Updated: 2026-02-05 16:23:09

Abstract

Options in the electricity businessPortfolio and risk management: valuation of hedging strategies, risk assessmentHydropower optimization and hedgingValuation of power plants with real optionsCapacity markets and quota SystemsComplex energy contracts with embedded optionsStrategy and positioning for utilities

Objective

The students know the main derivatives applied in the electricity business. They are able to est up hedging strategies and can evaluate them. They habe a basic understanding of the optimization of large, complex hydro power plants, of capacity markets and of quota systems. They know the discounted cash-flow method and real options to assess the value of power plants. The students are able to identify the components of complex energy supply contracts and to assess the risk.

Content

Options in the electricity business: option valuation with binominal trees, Black-Scholes formula, sensitivities (Greeks), implied volatility Portfolio and risk management: delta- and gamma-neutral hedging, valuation of hedging strategies, risk assessment (case study) Hydropower optimization and hedging Valuation of assets (power plants, grids), DCF method, real options Strategy and Positioning: Mini cases (group work) Capacity markets and Quota Systems Application of derivatives: complex energy contracts with embedded options, development of sales-oriented products Credit Risk Management Electricity marketing

Resources

Lecture Notes

Handouts - all material in English

General Information

Language: English
Levels: MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: written 180 minutes
Aids: None

Course Components

Type	Title	Time & Place	Hours
lecture with exercise	Power Market II - Modeling and Strategic Positioning	Wed 08:15-12:00 (ML F 36)	4 h weekly

Offered In

Atmospheric and Climate Science Master
- Minors
  - Minor in Sustainable Energy Use
Environmental Sciences Master
- Minors
  - Minor in Sustainable Energy Use
Electrical Engineering and Information Technology Master
- Master Studies (Programme Regulations 2018)
  - Energy and Power Electronics (The core courses and specialization courses below are a selection for students who wish to specialize in the area of "Energy and Power Electronics", see . The individual study plan is subject to the tutor's approval.)
    - Specialization Courses (These specialization courses are particularly recommended for the area of "Energy and Power Electronics", but you are free to choose courses from any other field in agreement with your tutor. A minimum of 40 credits must be obtained from specialization courses during the Master's Programme.)
- Master Studies (Programme Regulations 2008)
  - Major Courses (A total of 42 CP must be achieved form courses during the Master Program. The individual study plan is subject to the tutor's approval.)
    - Energy and Power Electronics
      - Recommended Subjects (These courses are recommended, but you are free to choose courses from any other special field. Please consult your tutor.)
Energy Science and Technology Master
- Electives (These courses are particularly recommended, other ETH-courses from the field of Energy Science and Technology at large may be chosen in accordance with your tutor.)
  - Electrical Power Engineering