227-0730-00L  Power Market II - Modeling and Strategic Positioning

SemesterSpring Semester 2015
LecturersD. Reichelt, G. A. Koeppel
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
227-0730-00 GPower Market II - Modeling and Strategic Positioning4 hrs
Wed08:15-12:00HG D 7.1 »
D. Reichelt, G. A. Koeppel

Catalogue data

AbstractModel 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.
ObjectiveModel 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.
Content5. Options and derivatives

6. Hedging strategies
6.1 Delta and gamma-neutral hedging
6.2 Replicating portfolio
6.3 Option strategies

7. Finance and valuation
7.1 Valuation of assets, power stations and grids
7.2 Real options

8. Commodities
8.1 Commodity trading
8.2 Emission trading
8.3 Guarantees of orignation system

9. Marketing & Sales
9.1 Structured products
9.2 Marketing
Lecture notesHandouts - all material in English
Prerequisites / Notice2 day excursion, presentations of invited speakers from the industry

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersD. Reichelt, G. A. Koeppel
Typeend-of-semester examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered at the end after the course unit. Repetition only possible after re-enrolling.
Additional information on mode of examinationWritten Exam, 180 min.

Learning materials

 
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Offered in

ProgrammeSectionType
Atmospheric and Climate Science MasterMinor in Sustainable Energy UseWInformation
Electrical Engineering and Information Technology MasterRecommended SubjectsWInformation
Energy Science and Technology MasterElective Core CoursesWInformation
Environmental Sciences MasterMinor in Sustainable Energy UseWInformation