105.669 Energy Markets: Models and Derivatives Valuation
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2014W, VO, 2.0h, 3.0EC


  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

The aim of the course is to make the students familiar with the most popular models for energy commodities markets and with the most common methods adopted to price energy derivatives.

Subject of course

  1. General features of commodity markets and, in particular, energy markets: oil, gas, power; some basic empirical results.
  2. The most popular models proposed for energy markets: Lucia and Schwarz, Cartea and Figueroa, Benth, Cartea, Meyer-Brandis, Roncoroni-Geman.
  3. Some mathematical tools: a brief introduction to Levy processes and additive processes: the Levy-Ito and the Levy-Kintchine representation theorems. Measure changes; the Esscher transform for Levy and additive processes.
  4. Forward and European Options valuation in energy markets: some closed-form solutions for relevant models.
  5. Forward curve modelling: the Heath-Jarrow-Morton description of forward curves dynamics in energy markets.
  6. An introduction to weather derivatives and their valuation: temperature dynamics models, CAT contracts, HDD and CDD.

Additional information

Course Dates:
Monday, November 3, 2014 – Friday, November 14, 2014
(room reservations can still change)


  • Sgarra, Carlo


Course dates

Mon14:00 - 18:0003.11.2014Sem.R. DB gelb 07 .
Tue16:00 - 18:0004.11.2014Sem.R. DA grün 06A .
Wed14:00 - 16:0005.11.2014FH Hörsaal 2 .
Thu09:00 - 10:4506.11.2014FH Hörsaal 7 - GEO .
Thu14:00 - 16:0006.11.2014Seminarraum 303 .
Fri10:00 - 15:0007.11.2014Sem.R. DA grün 06A .
Mon14:00 - 18:0010.11.2014Sem.R. DB gelb 10 .
Tue16:00 - 18:0011.11.2014Sem.R. DA grün 06A .
Wed14:00 - 16:0012.11.2014FH Hörsaal 2 .
Thu09:00 - 10:4513.11.2014FH Hörsaal 7 - GEO .
Thu14:00 - 16:0013.11.2014Seminarraum 303 .
Fri10:00 - 12:0014.11.2014Sem.R. DA grün 06A .

Examination modalities

The examination will consist of a small project and an oral discussion on that.

Course registration

Not necessary


Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Mandatory elective


  • F.E. Benth, S.J. Benth, Stochastic Modeling of Electricity and Related Markets, World Scientific (2008).
  • H. Geman, Commodities and Commodity Derivatives, John Wiley (2005).
  • F. E. Benth, P. Laurence, V. Kholodny, Quantitative Energy Finance, Springer (2013).

Previous knowledge

Basic notions on stochastic processes and on option pricing: the Brownian motion and its properties, the Black-Scholes model. The Ito integral and its properties.  Definitions of the most common traded derivatives in the financial markets: Forward contracts, Futures, European options.