René Aid
Directeur du Laboratoire de Finance des Marchés d'Energies, EDF
Marie Bernhart
Research Engineer, EDF R&D Market Risk Management and PricingDérivés d'énergies
Les objectifs du cours
The purpose of this course is to provide students with an overview of both the technical aspects of energy markets (generation, demand, constraints, market organization) as well as the most commonly used price models for pricing energy derivatives.
Attention is given to specific energy derivatives (Swing options and powerplants) and computational methods needed are detailed.
Plan du cours
- Introduction to energy markets : electricity and gas market designs
- Price modeling : Spot and Forward models for electricity and gas prices
- Vanilla energy derivatives
- Structured derivatives and physical assets
- Advanced computational methods for stochastic control in energy markets
Bibliographie
Clewlow L. & Strickland S., Energy Derivatives: Pricing & Risk Management, Lacima Group Pub., 2000.
Eydeland A. & Woliniec K, Energy and Power Risk Management: New Developments in Modelling, Pricing and Hedging, Wiley, 2007.
Géman H., Commodities and commodity derivatives: modelling and pricing for agriculturals, metals and energy, Wiley, 2005.
Examen
Final exam or Presentation and summary report on a scientific publication on some aspects of pricing and hedging in commodity markets.