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.
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
- Emissions Markets: models for the C02 cap-and-trade systems,
CERs and option pricing.