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Power Market II - Modeling and Strategic Positioning
Strommarkt II - Modellierung und strategische Positionierung
Last Updated: 2026-02-05 15:10:09
Abstract
Model to price options, analysis of sensitivities, delta and gamma neutral hedging of a portfolio, financial modelling of physical assets, evaluation of power plants using discounted cash flows or real options, management of a portfolio.Analysis of the markets and the environment, SWOT analysis, develop strategic options.
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 | Strommarkt II - Modellierung und strategische Positionierung |
|
2 h weekly |