LFU:online

Institut für Banken und Finanzen Institut für Banken und Finanzen

Mag. Lucio Geronazzo Mag. Lucio Geronazzo

434221

Financial Markets and Electricity Derivatives

SE 2

abgeschlossener Aufbaukurs

Block

semestral

Deutsch

In a first part of the course the basic topics concerning power markets and their organization are presented, with focus on electricity markets. Special features of power deregulated market, as high prices volatility (due to unpredictable weather events and non-storability of electricity) are analyzed together with the trading modalities, very different from those of any other commodity or financial asset. A second part is devoted to the analysis of the process of electricity’s prices with mention of their anomalies, like jumps and spikes. Different models commonly used to describe the evolution of the prices are presented and discussed with mention of their intrinsic limits. In the same part Electricity derivatives and contracts embedding options are discussed, giving room to specific topics as swing contracts, spreads, tolling agreements and other instruments built to hedge market participants against market price risk.

Beginn: w.b.