Dieter Reichelt: Catalogue data in Spring Semester 2021

Name Dr. Dieter Reichelt
Address
Hutweg 4
8573 Alterswilen
SWITZERLAND
Telephone071 699 13 09
E-mailreichelt@ethz.ch
DepartmentInformation Technology and Electrical Engineering
RelationshipLecturer

NumberTitleECTSHoursLecturers
227-0730-00LPower Market II - Modeling and Strategic Positioning6 credits4GD. Reichelt, G. A. Koeppel
AbstractOptions in the electricity business
Portfolio and risk management: valuation of hedging strategies, risk assessment
Hydropower optimization and hedging
Valuation of power plants with real options
Capacity markets and quota Systems
Complex energy contracts with embedded options
Strategy and positioning for utilities
ObjectiveThe students know the main derivatives applied in the electricity business. They are able to est up hedging strategies and can evaluate them. They habe a basic understanding of the optimization of large, complex hydro power plants, of capacity markets and of quota systems. They know the discounted cash-flow method and real options to assess the value of power plants. The students are able to identify the components of complex energy supply contracts and to assess the risk.
ContentOptions in the electricity business: option valuation with binominal trees, Black-Scholes formula, sensitivities (Greeks), implied volatility
Portfolio and risk management: delta- and gamma-neutral hedging, valuation of hedging strategies, risk assessment (case study)
Hydropower optimization and hedging
Valuation of assets (power plants, grids), DCF method, real options
Strategy and Positioning: Mini cases (group work)
Capacity markets and Quota Systems
Application of derivatives: complex energy contracts with embedded options, development of sales-oriented products
Credit Risk Management
Electricity marketing
Lecture notesHandouts - all material in English
Prerequisites / Notice2 day excursion, presentations of invited speakers from the industry

Moodle: https://moodle-app2.let.ethz.ch/enrol/index.php?id=12225