Workgroup Financial Mathematics

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1. Modelling, simulating and estimating electricity risk (Prof. Thilo Meyer-Brandis)

  •     Introduction to energy markets with focus on electricity markets
  •     Modelling electricity spot prices with jump diffusions
  •     Forward and option pricing with spot price models and the role of forward looking information
  •     Modelling forward curves on electricity markets

2. Electricity and related energy markets (Prof. Rene Carmona)

  •     Equilibrium Models for Electricity Prices
  •     Pricing and hedging spark spreads, tolling agreements and plant valuation
  •     Emissions Markets: models for the C02 cap-and-trade systems, CERs and option pricing