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Portfolio und Risk Management im liberalisierten Strommarkt II
Last Updated: 2026-02-05 15:02:42
Objective
Pricing and modelling of derivatives based on electricty prices, power economies in open markets, development of the stategic position of utilities, evaluation of power plants and long-term contracts.
Content
Option pricing, modelling of electricity prices, binominal trees, Black-Scholes, advanced price modelling for electricity markets (mean reversion), further derivatives on electricity market prices: swaps, caps and floors, swaptions, spread options, exotic options, power economies in open markets, modelling of the uncertainties of hydraulic production (profit at risk), unbundling of grid and production/trading, balancing areas, ancillary services, energy data management, market for ancillary services (regulating power), evaluation of power plants and grids using discounted cash-flows including risk, long-term contracts, development of the stategic options of utilities in a dynamic environment, examples of European utilities.
Resources
Lecture Notes
Handouts during the lecture
General Information
- Language
- German
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 30 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise | Portfolio und Risk Management im liberalisierten Strommarkt II |
|
2 h weekly |