Mathematisches Institut der Universität MünchenUniversität MünchenMathematisches Institut der Universität München


 


Courses

1. MODELLING, SIMULATING AND ESTIMATING ELECTRICITY RISK (T. Meyer-Brandis)
  • Introduction to energy markets with focus on electricity markets.
  • Overview of existing model approaches on electricity markets and empirical analysis of electricity spot prices.
  • Modelling electricity spot prices with jump diffusions.
  • Forward and option pricing with spot price models and the role of forward looking information.
  • Modelling forward curves on electricity markets.


2. ELECTRICITY AND RELATED ENERGY MARKETS (R. Carmona)
  • Equilibrium Models for Electricity Prices (the stack, the merit order, and possibly a discussion of Barlow model).
  • Pricing and hedging spark spreads, tolling agreements and plant valuation.
  • Emissions Markets: models for the C02 cap-and-trade systems, CERs and option pricing.