René Aid

Professeur d'Economie, Université Paris - Dauphine

Clémence Alasseur

Research Engineer, EDF R&D

Marie Bourrousse

Research Engineer, EDF R&D Market Risk Management and Pricing Autres cours :

Dérivés 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