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.
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.