Course outline

Outline – day one

Session 1:  Introduction to the power sector

• Market overview
• Technologies

Session 2:  Introduction power plant valuation    

• Explanation of costs
• Financial evaluation of power stations

Session 3:  Real options approach to power plants   

• From intrinsic to extrinsic value
• How to monetize flexibility of power stations
• Pricing options: Black-Scholes, Trees, Monte Carlo
• Margrabe’s formula to price power plants

Session 4:  Forward Curve Building

• From fundamental curves to tradable products
• Build-up of intrinsic value

Session 5:  Dispatch Optimization   

• Plant constraints: technical, commercial, environmental
• Mathematical optimization techniques for power plant dispatch
• Least squares Monte Carlo

Outline – day two

Session 1:  Power plant hedging  

• Hedging: difference between gas and coal fired power stations
• Purpose of hedging (risk reduction, profit optimization)
• Hedge definitions: intrinsic, rolling intrinsic and delta hedge
• Hedging issues

Session 2:  Renewables      

• Surge in wind power: impact on pricing
• Solar power: impact on peak power price

Session 3:  Cointegration  

• Cointegration versus correlation
• Effective simulation of spark and dark spreads
• Impact cointegration on power plant value

Session 4:  Energy Trading Game

In-house Training Courses | Training Course: Power Generation Valuation & Hedging | Training Course: Gas Market Flexibility Instruments | Training Course: Gas Fundamentals & Storage | Energy Market Trading Game