Detail View

Keine Credits bei Lehrveranstaltungen angegeben

Bei den Modulen unten sind Credits angegeben, bei der (modulunabhängigen) Lehrveranstaltungsliste nicht. Dies liegt darin begründet, dass die Lehrveranstaltungen erst im Kontext eines Modules Credits erhalten. Auch wenn der Fall selten eintritt, ist so die Möglichkeit gegeben, dass die selbe Veranstaltung in unterschiedlichen Studiengängen unterschiedlichen Workload und Credits erhalten kann.

Üblicherweise gilt aber weiterhin natürlich die Faustregel Cr = 1,5 * SWS. 

create MS Word export

If you like to create a change request for the modules, the easiest way is to export this list and then use the "track changes" functionality in MS Word and send the new file to AG Modulhandbuch. As a starting point you can use the word-export above.


http://www.lef.wiwi.uni-due.de/

Lehrstuhl für Energiehandel und Finanzdienstleistungen

assigned LecturersKiesel (Prof. Dr. Rüdiger Kiesel)
Kiesel und Mitarbeiter (Prof. Dr. Rüdiger Kiesel und Mitarbeiter)

Responsbile for the modules

Name in diploma supplement
International Module
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload
Duration
The module takes 1 semester(s).
Qualification Targets

Es finden die Qualifikationsziele der ausländischen Module/Veranstaltungen Anwendung. Die Qualifikationsziele stehen in einem sinnvollen Zusammenhang zum Wahlpflichtbereich. Darüber hinaus erwerben die Studierenden im Rahmen ihres Auslandsstudiums die folgenden Qualifikationsziele:

Die Studierenden

  • vertiefen und erweitern ihre Kenntnisse in ausgewählten Bereichen der Betriebswirtschaftslehre, Volkswirtschaftslehre, Quantitative Methoden und Wirtschaftsinformatik
  • erhalten einen Einblick in die inhaltliche und organisatorische Ausbildung an der ausländischen Universität bzw. Hochschule
  • vertiefen und vervollkommnen ihre fremdsprachlichen Kenntnisse
  • erwerben vertiefende fachliche und interkulturelle Kompetenzen
Relevance

Ein Auslandsstudium trägt dem Grundgedanken einer international ausgerichteten Hochschule ebenso wie der internationalen Orientierung des Studiengangs Rechnung.

Module Exam

Die konkreten Prüfungsmodalitäten erfolgen nach Maßgabe der jeweiligen Hochschule.

Gem. § 10 Abs. 4 der Prüfungsordnung können bis zu fünf Module zu je 6 Credits im Wahlpflichtbereich durch fachbezogene Module im Rahmen eines Auslandsstudiums an einer ausländischen Hochschule (sog. Auslandsmodul/e) abgelegt werden, die nicht auf ein konkretes Modul dieses Modulhandbuchs anerkannt werden können.

Die inhaltliche Prüfung der Berücksichtigung der ausländischen Leistungen für die Auslandsmodule nimmt die oder der Modulverantwortliche vor. Bei den Partneruniversitäten der Fakultät ist das Verfahren mit den Programmverantwortlichen abzustimmen.

Usage in different degree programs
  • BWL EaFWahlpflichtbereichMobilitätsfenster3rd Sem, Elective
Module: Auslandsmodul (Master EaF) (WIWI‑M0835)

Name in diploma supplement
Introduction to Options, Futures and Derivatives
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Die Studierenden

  • kennen Finanzmarktinstrumente und ihre Eigenschaften
  • können Auszahlungsprofile von einfachen Optionsstrategien analysieren und ihre Bestandteile erkennen
  • können das Prinzip der arbitragefreien Preise verstehen und anwenden
  • sind in der Lage, auf Binomialbäumen basierende Bewertungsmethoden anzuwenden und die Black-Scholes-Merton Formel zu benutzen
Relevance

Die vorgestellten Finanzinstrumente sind am Markt weit verbreitet und werden zusätzlich als Bausteine in komplexen Produkten benutzt. Die gelernten Methodiken sind in erweiterter Form weit verbreitet bei finanz- und energiewirtschaftlichen Unternehmen.

Module Exam

Zum Modul erfolgt eine modulbezogene Prüfung in der Gestalt einer Klausur (in der Regel: 90 Minuten).

Usage in different degree programs
  • BWLVertiefungsstudiumWahlpflichtbereichVertiefungsbereich Betriebswirtschaftslehre4th-6th Sem, Elective
  • EnergyScEnergiewissenschaft IV7th-8th Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern"1st-3rd Sem, Elective
  • VWLVertiefungsstudiumWahlpflichtbereichBereich BWL, Recht, Wirtschaftsinformatik, InformatikVertiefungsbereich Betriebswirtschaftslehre4th-6th Sem, Elective
  • WiMatheVWL-Energie1st-6th Sem, Elective
  • WiMatheVWL-M II1st-6th Sem, Elective
  • WiMatheVWL-M I1st-6th Sem, Elective
Elements
  • VO: Einführung in Optionen, Futures und derivative Finanzinstrumente (3 Credits)
  • UEB: Einführung in Optionen, Futures und derivative Finanzinstrumente (3 Credits)
Module: Einführung in Optionen, Futures und derivative Finanzinstrumente (WIWI‑M0322)

Name in diploma supplement
Energy Trading
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

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 other commoditiy markets.
Relevance

The models discussed and the quantitative techniques used are common standard and frequently used in financial institutions and within the energy industry.

Module Exam

Written exam (generally 60-90 minutes)

Die Prüfung in diesem Modul darf nicht abgelegt werden, wenn Energiehandel I bereits bestanden ist.

Usage in different degree programs
  • BWL EaFPflichtbereich1st-2nd Sem, Compulsory
  • EnergyScFortgeschrittene Energiewissenschaft1st Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL1st-3rd Sem, Elective
  • VWLWahlpflichtbereich II1st-3rd Sem, Elective
  • WiMatheVWL-Energie1st-4th Sem, Elective
Elements
  • VO: Energy Trading (3 Credits)
  • UEB: Energy Trading (3 Credits)
Module: Energy Trading (WIWI‑M0678)

Name in diploma supplement
Financial Mathematics
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • know the most important mathematical modelling techniques of financial markets and can apply them to real word problems.
  • are able to value simple derivative assets and can apply the main principles of risk management.
  • are able to solve basic risk management tasks arising in financial institutions and the energy industry.
Relevance

The discussed models and the used quantitative techniques are common standard and frequently used in financial institutions and the energy industry.

Module Exam

Written exam (generally 90 minutes).

Usage in different degree programs
  • BWL EaFWahlpflichtbereich1st-3rd Sem, Elective
  • ECMXWahlpflichtbereichME6 Applied Econometrics1st-3rd Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern"1st-3rd Sem, Elective
  • MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1st-3rd Sem, Elective
  • VWLWahlpflichtbereich I1st-3rd Sem, Elective
  • WiMatheVWL-Energie1st-4th Sem, Elective
Elements
  • VO: Financial Mathematics (3 Credits)
  • UEB: Financial Mathematics (3 Credits)
Module: Financial Mathematics (WIWI‑M0674)

Name in diploma supplement
Financial Risk Management
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 120 hours
Duration
The module takes 1 semester(s).
Qualification Targets

At the end of this course, Students will be able to demonstrate that they can:

  • understand the core principles of quantitative risk management.
  • understand mathematical and statistical techniques used in risk management.
  • use Monte-Carlo methods for risk measure calculations.
  • apply the theoretical principles discussed in class to real-world problems.
  • apply the knowledge gained to current problems in academic research.
  • recapitulate topics discussed in class.
  • discuss issues in the field of risk and bank management both in German and English.
  • communicate and debate topics of the lecture in a structured and professional way.
Module Exam

Final written exam (60-90 minutes).

Die Prüfung in diesem Modul darf nicht abgelegt werden, wenn "Risikomanagement I" bereits bestanden ist.

Usage in different degree programs
  • BWL EaFPflichtbereich1st-2nd Sem, Compulsory
  • ECMXWahlpflichtbereichME5 Economics1st-3rd Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL1st-3rd Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern"1st-3rd Sem, Elective
  • MedMan MedGWWahlpflichtbereich IBereich BWL1st-3rd Sem, Elective
  • MedMan WiWiWahlpflichtbereich IIBereich BWL1st-3rd Sem, Elective
  • MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1st-3rd Sem, Elective
  • VWLWahlpflichtbereich II1st-3rd Sem, Elective
  • WiInfWahlpflichtbereichWahlpflichtbereich II: Informatik, BWL, VWLWahlpflichtmodule der Betriebswirtschaftslehre1st-3rd Sem, Elective
  • WiMatheVWL-Energie1st-4th Sem, Elective
Elements
  • VO: Financial Risk Management (3 Credits)
  • UEB: Financial Risk Management (3 Credits)
Module: Financial Risk Management (WIWI‑M0676)

Name in diploma supplement
Quantitative Climate Finance
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

The students

  • will investigate current issues in the field of economics of climate change with a focus on quantitative modeling
  • understand stochastic valuation methods for financial contracts related to climate issues and learn how to apply them
  • question the models critically, interpret model results and extend them
Relevance

The models presented and the quantitative techniques used are industry standard and are widely used in the financial and energy sector.

Module Exam

written exam (usually 90 minutes).

Usage in different degree programs
  • BWL EaFWahlpflichtbereich1st-3rd Sem, Elective
  • ECMXWahlpflichtbereichME5 Economics1st-3rd Sem, Elective
  • EnergyScFortgeschrittene Energiewissenschaft1st Sem, Elective
Elements
  • VO: Quantitative Climate Finance (3 Credits)
  • UEB: Quantitative Climate Finance (3 Credits)
Module: Quantitative Climate Finance (WIWI‑M0673)

Name in diploma supplement
Selected Topics in Risk Management
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 45 hours
  • Preparation, follow up: 90 hours
  • Exam preparation: 45 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • are able to independently acquire specific knowledge in the area of risk management and are able to apply these knowledge to solve real word problems
  • are able to write a scientific paper
Relevance

The topics and methods discussed are common standard in energy economics and the financial industry.

Module Exam

Scientific paper (20-40 pages; 70% of the grade), presentation (about 25 minutes; 30% of the grade)

Usage in different degree programs
  • BWL EaFSeminarbereich2nd-3rd Sem, Elective
  • ECMXWahlpflichtbereichME6 Applied Econometrics1st-3rd Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern"1st-3rd Sem, Elective
  • MuUSeminarbereich Märkte und Unternehmen2nd-3rd Sem, Elective
Elements
  • SEM: Selected Topics in Risk Management (6 Credits)
Module: Selected Topics in Risk Management (WIWI‑M0675)

Name in diploma supplement
Structuring and Valuation
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • analyze current problems in the field of energy trading.
  • understand complex quantitative techniques and apply them to analyze the structures of financial contracts and physical assets frequently used in energy markets.
  • are able to evaluate the risk attended by such contracts and to explain it to non-experts.
  • are able to critically discuss and interpret model results as well as to extend models.
  • are able to implement the introduced models in a common programming language (e.g. Python)
Relevance

The models discussed and the quantitative techniques used are common standard and frequently used in financial institutions and the energy industry.

Module Exam

Written exam (generally 60-90 minutes).

Usage in different degree programs
  • BWL EaFPflichtbereich2nd-3rd Sem, Compulsory
  • EnergyScFortgeschrittene Energiewissenschaft1st Sem, Elective
  • VWLWahlpflichtbereich II1st-3rd Sem, Elective
  • WiMatheVWL-Energie1st-4th Sem, Elective
Elements
  • VO: Structuring and Valuation (3 Credits)
  • UEB: Structuring and Valuation (3 Credits)
Module: Structuring and Valuation (WIWI‑M0671)

Name in diploma supplement
Trading Room
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 20 hours
  • Preparation, follow up: 120 hours
  • Exam preparation: 40 hours
Duration
The module takes 1 semester(s).
Qualification Targets

At the end of this course, students will be able to demonstrate that they can:

  • use standard financial industry software such as Matlab or RStudio to analyse market data.
  • interpret results and solve practical problems in finance and energy.
  • write a short scientific paper.
Relevance

Students understand how to use standard financial industry software to analyse financial markets.

Module Exam

Short scientific paper (20 – 40 pages; 70% of the grade), presentation (about 25 minutes; 30% of the grade)

Usage in different degree programs
  • BWL EaFSeminarbereich2nd-3rd Sem, Elective
  • MuUSeminarbereich Märkte und Unternehmen2nd-3rd Sem, Elective
Elements
  • SEM: Trading Room (6 Credits)
Module: Trading Room (WIWI‑M0672)

Offered Courses

Name in diploma supplement
Lecture Introduction to Options, Futures and Derivatives
Organisational Unit
Lecturers
SPW
2
Language
German
Cycle
summer semester
Participants at most
100
Preliminary knowledge

 Basiswissen zu den Themen Finanzmärkte und Statistik

Abstract

Vorstellung und Diskussion von Futures, Optionen und Derivaten auf Kapitalmärkten und Energiemärkten. Diskussion von einfachen Modellen und Bewertungsmethoden

Contents
  1. Forwards und Futures
  2. Optionen und ihre Eigenschaften
  3. Bewertung von Optionen mit Binomialbäumen
  4. Das Black-Scholes-Merton Modell
Literature

Hull, John: Optionen, Futures und andere Derivate, Pearson Studium, 7.Auflg., 2009

Teaching concept

Präsentation, Diskussion

Participants
Lecture: Einführung in Optionen, Futures und derivative Finanzinstrumente (WIWI‑C0053)
Name in diploma supplement
Exercises Introduction to Options Futures and Derivatives
Organisational Unit
Lecturers
SPW
2
Language
German
Cycle
summer semester
Participants at most
100
Preliminary knowledge

 Basiswissen zu den Themen Finanzmärkte und Statistik

Abstract

Einübung der in der Vorlesung erarbeiteten Konzepte und Methoden.

Contents
  1. Bewertungsbeispiele
  2. Statistische Untersuchungen und Datenanalysen
  3. Umsetzung von theoretischen Konzepten im Rahmen von Excel-Aufgaben
Literature

Hull, John: Optionen, Futures und andere Derivate, Pearson Studium, 7.Auflg., 2009

Participants
Exercise: Einführung in Optionen, Futures und derivative Finanzinstrumente (WIWI‑C0052)
Name in diploma supplement
Lecture Energy Trading
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in statistics and econometrics.

Abstract

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.

Contents
  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
Literature
  • 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.
Teaching concept

presentation, discussion

Participants
Lecture: Energy Trading (WIWI‑C0831)
Name in diploma supplement
Exercises Energy Trading
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in statistics and econometrics.

Abstract

See lecture.

Contents

Recap, discuss, apply and deepen topics covered during the lecture with the help of scientific papers, practical applications and training exercises. Improve theoretical knowledge as well as applied research skills.

Literature

See lecture.

Teaching concept

Presentation, discussion

Participants
Exercise: Energy Trading (WIWI‑C0832)
Name in diploma supplement
Lecture Financial Mathematics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in mathematical statistics and econometrics.

Abstract

Discussion of essential mathematical valuation principles and techniques both in time-discrete and time-continuous models. Introduction and implementation of probabilistic and statistical methods. Analysis of stock, interest and commodity markets and also of the most common assets and derivatives in these markets.

Contents
  1. Mathematical models for price processes in stock, interest, and commodity markets
  2. Arbitrage theory and hedging strategies
  3. Stochastic models for financial markets: martingales and fundamental theorems in asset pricing
  4. Valuation and hedging of derivatives: European , American and exotic options
  5. Incomplete markets and stochastic volatility
Literature
  • N.H. Bingham & R. Kiesel, Risk Neutral Valuation, 2nd edition, Springer, 2004.
  • M. Joshi, The Concepts and Practice of Mathematical Finance, CUP, 2003
  • S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004
Teaching concept

Presentation, discussion

Participants
Lecture: Financial Mathematics (WIWI‑C0824)
Name in diploma supplement
Exercises Financial Mathematics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in mathematical statistics and econometrics.

Abstract

Recap and practice concepts and methods covered in the lecture.

Contents
  • Examples of asset valuation
  • Statistical methods and data analysis
  • Implementation of theoretical concepts within the context of programming tasks
Literature

See lecture

Participants
Exercise: Financial Mathematics (WIWI‑C0825)
Name in diploma supplement
Lecture Financial Risk Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowlede in the field of statistics and econometrics

Contents
  • Regulation: Basel II/III, Sovency II
  • Risk Categories
  • Risk Measurements
  • Valuation of Options, "Greeks"
  • Hedging Strategies
Literature
  • Bingham, N.H. & Kiesel, R.: Risk Neutral Valuation, 2nd edition, Springer, 2004.
  • Hull, J.: Risikomanagement, 2. Auflage, Pearson Studium, 2011.
  • Jorion, P.: Value-at-Risk, 3rd edition, McGraw-Hill, 2009.
  • Hull, J.: Optionen, Futures und andere Derivate, 7. Auflage, Pearson Studium, 2009
Teaching concept

Presentation, Discussion, Case Studies

Participants
Lecture: Financial Risk Management (WIWI‑C0827)
Name in diploma supplement
Exercises Financial Risk Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowlede in the field of statistics and econometrics

Contents
  • Regulation: Basel II/III, Sovency II
  • Risk Categories
  • Risk Measurements
  • Valuation of Options, "Greeks"
  • Hedging Strategies
Literature

See lecture.

Teaching concept

Presentation, Discussion, Case Studies

Participants
Exercise: Financial Risk Management (WIWI‑C0829)
Name in diploma supplement
Lecture Quantitative Climate Finance
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge of statistics and econometrics

Abstract

Discussion and analysis of financial instruments in the context of economics of climate change. Introduction to emission trading scheme and valuation methods for emission certificates and financial contracts based on emission certificates.

Contents
  • Principles of environmental economics: discussion of various regulatory measures
  • Design of emission trading schemes
  • Carbon risks and their impact on financial markets
  • Valuation of derivative contracts based on emission certificates
  • Financing of environmental-economic investment projects
Literature

Information regarding current literature will be given during the course.

Teaching concept

Presentation, discussion

Participants
Lecture: Quantitative Climate Finance (WIWI‑C0822)
Name in diploma supplement
Exercises Quantitative Climate Finance
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in mathematical statistics and econometrics

Abstract

Discussion and analysis of financial instruments in the context of economics of climate change. Introduction to emission trading scheme and valuation methods for emission certificates and financial contracts based on emission certificates.

Contents

Repetition, discussion and application of the lecture content based on selected scientific articles, practice-oriented examples and exercises that consolidate theoretical knowledge and skills as well as application-related skills.

Literature

See lecture.

Participants
Exercise: Quantitative Climate Finance (WIWI‑C0823)
Name in diploma supplement
Selected Topics in Risk Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
every semester
Participants at most
12
Preliminary knowledge

Advanced knowledge in statistics.

Abstract

This seminar is on varying topics in the area of risk management each semester. The seminar gives students the opportunity to theoretically work and discuss specific topics in small groups. Registration and topic assignment takes place at the beginning of each semester.

Contents

Students independently solve specific problems in the area of risk management. They discuss and present main aspects of scientific papers on these topics.

Informationen zu den Voraussetzungen und zur Bewerbung finden Sie auf der Homepage des Lehrstuhls

Literature

Varying

Teaching concept

presentation, discussion

Participants
Seminar: Selected Topics in Risk Management (WIWI‑C0826)
Name in diploma supplement
Lecture Structuring and Valuation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

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.

Contents
  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
Literature
  • 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.
Teaching concept

Presentation, discussion

Participants
Lecture: Structuring and Valuation (WIWI‑C0819)
Name in diploma supplement
Exercises Structuring and Valuation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

See lecture.

Contents

Recap, discuss, apply and deepen topics covered during the lecture with the help of scientific papers, practical applications and training exercises. Improve theoretical knowledge as well as applied research skills.

Literature

See lecture.

Teaching concept

Presentation, discussion

Participants
Exercise: Structuring and Valuation (WIWI‑C0820)
Name in diploma supplement
Trading Room Seminar
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
12
Preliminary knowledge

Good knowledge in the field of statistics and econometrics.

Contents

Informationen zu den Voraussetzungen und zur Bewerbung finden Sie auf der Homepage des Lehrstuhls

Literature

Vary from semester to semester, will be given at the beginning of the seminar.

Teaching concept

Presentations, discussions.

Participants
Seminar: Trading Room (WIWI‑C0821)