Clémence Alasseur

Research engineer, EDF R&D

Marc Ringeisen

Deputy Director of the Centre Opérationnel Production Marchés, EDF

Energy Derivatives

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.

Prerequisites

Students must be enrolled in courses Economics and Geopolitics of Energy, Derivatives Pricing & Stochastic Calculus 2, and have past  Financial Derivatives, and Derivative Pricing & Stochastic Calculus 1

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