SingleView of Module

Module (6 Credits)

Energy Markets and Price Formation

Name in diploma supplement
Energy Markets and Price Formation
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 45 hours
  • Preparation, follow up: 75 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students taking the course will

  • gain knowledge of products in energy trading
  • get familiar with modern concepts and methods of analyzing the pricing on energy markets
  • learn how to describe and use procedures of fundamental and mathematical-econometric market analyses
Relevance

A great deal of the presented knowledge and methods is used and required in business operations of energy companies. Aside from general competences on all stages of the value chain of electricity, particular emphasis is placed on the fields of energy trading and controlling.

Module Exam

Written exam (generally 60-90 minutes) or oral exam (generally 20-40 minutes). The chosen examination method (written or oral exam) is defined by the lecturer during the first weeks of the lecture period.

The lecturer decides at the beginning of the course whether additional bonus points for the exam may be reached ahead of the exam based on voluntary attestations, in the form of handed-in solutions to exercises. The exam has to be passed at least with a grade of 4,0 without consideration of this attestation bonus. In this case, the final grade results from the result of the addition of points from both the passed exam and the points earned from the attestations. The consideration of the attestation bonus is limited to a maximum of 15% of the points that can be reached in the final exam. The attestation bonus is only eligible for the exams belonging to the same semester.

Usage in different degree programs
  • BWL EaFPflichtbereich1st-2nd Sem, Compulsory
  • ECMXWahlpflichtbereichME5 Economics1st-3rd Sem, Elective
  • EnergyScFortgeschrittene Energiewissenschaft1st Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL1st-3rd Sem, Elective
  • MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1st-3rd Sem, Elective
  • VWLWahlpflichtbereich I1st-3rd Sem, Elective
  • WiInfWahlpflichtbereichWahlpflichtbereich II: Informatik, BWL, VWLWahlpflichtmodule der Betriebswirtschaftslehre1st-3rd Sem, Elective
  • WiIngWahlpflichtbereich Wirtschaftswissenschaften, Energiewirtschaft1st-3rd Sem, Elective
  • WiMatheVWL-Energie1st-3rd Sem, Elective
Elements
Name in diploma supplement
Energy Markets and Price Formation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in the field of investment and financing as well as general business administration is required. Knowledge of statistics and operations research would be an advantage.

Abstract

Presentation of modern concepts and methods of analysis and decision support in energy trading.

Contents
  1. Energy markets classified according to energy sources and customer segments
  2. Products in energy trading: spot market, forwards, futures, options, real options
  3. Pricing in wholesale markets I: Fundamental analytic models, problem formulations and solving as computer models
  4. Pricing in wholesale markets II: Financial and econometric models, i.e. Wiener process, mean-reversion process, ARMA and ARIMA formulation and implementation
  5. Valuating options: analytical methods (Black-Scholes, Bachelier, Margrabe), numerical methods (Monte-Carlo-Simulation), tree-building methods
  6. Game-theoretical approaches to price formation: standard oligopoly models (Cournot), supply function equilibria
  7. Summary of the models for the energy market, advantages and disadvantages
Literature
  • Borchert, J.; Schemm, R.; Korth, S. (2006): Stromhandel – Institutionen, Marktmodelle, Pricing und Risikomanagement; Stuttgart.
  • Burger, M.; Graeber, B.; Schindlmayer, G. (2014): Managing energy risk, 2nd edition. Wiley Finance.
  • Clewlow, L.; Strickland, C. (2000): Energy Derivatives. Pricing and risk management; London.
  • Horstmann, K.-P.; Cieslarczyk, M. (Hrsg.) (2006): Energiehandel – Ein Praxishandbuch; Köln.
  • Hull, J. C (20159): Option, Futures and Other Derivatives, 9th edition, Upper Saddle River E. Ronn (ed.): Real Options and Energy Management; London.
  • Pilipovic, D. (1998): Energy Risk. New York et al.
  • Schwintowski, H.-P. (Hrsg.) (2006): Handbuch Energiehandel; Berlin.
  • Weber, C. (2005): Uncertainty in the Electric Power Industry: Methods and Models for Decision Support; Berlin.
  • Zenke, I./ Schäfer, R. (2012): Energiehandel in Europa, 3. Auflage, C.H.Beck.
Teaching concept

Presentation, Discussion

Participants
Lecture: Energy Markets and Price Formation (WIWI‑C0814)
Name in diploma supplement
Energy Markets and Price Formation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

See lecture

Abstract

Application of the methods presented in the lecture

Contents

Tasks and examples of the material of the lecture

  1. Data research / Descriptive Statistics
  2. Price Analysis / Regression models
  3. Fundamental models / Reserve models
  4. Financial and econometric models / Stochastic Processes
  5. Valuating options
  6. Game Theory Models
Literature

See lecture

Teaching concept

Self-contained and guided solution of exercises. Students should present and discuss their solution proposals. Parts of the modelling and applications are taught using computers, i.e. using Microsoft Excel.

Participants
Exercise: Energy Markets and Price Formation (WIWI‑C0815)
Module: Energy Markets and Price Formation (WIWI‑M0668)