227-0730-00L Power Market II - Modeling and Strategic Positioning
| Semester | Spring Semester 2018 |
| Lecturers | D. Reichelt, G. A. Koeppel |
| Periodicity | yearly recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | ||||
|---|---|---|---|---|---|---|---|
| 227-0730-00 G | Power Market II - Modeling and Strategic Positioning | 4 hrs |
| D. Reichelt, G. A. Koeppel |
Catalogue data
| Abstract | Options 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 |
| Learning objective | The 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. |
| Content | Options 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 notes | Handouts - all material in English |
| Prerequisites / Notice | 2 day excursion, presentations of invited speakers from the industry Moodle: https://moodle-app2.let.ethz.ch/course/view.php?id=3848 |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 6 credits |
| Examiners | D. Reichelt, G. A. Koeppel |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling. |
| Mode of examination | written 180 minutes |
| Additional information on mode of examination | Written Exam, 180 min. |
| Written aids | None |
| This information can be updated until the beginning of the semester; information on the examination timetable is binding. | |
Learning materials
| No public learning materials available. | |
| Only public learning materials are listed. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
