2016/2017 KANCOECV3004U Energy Finance: Quantitative Modeling and Real Options
English Title  
Energy Finance: Quantitative Modeling and Real Options 
Course information 

Language  English 
Course ECTS  7.5 ECTS 
Type  Elective 
Level  Full Degree Master 
Duration  One Semester 
Start time of the course  Autumn 
Timetable  Course schedule will be posted at calendar.cbs.dk 
Study board 
Study Board for MSc in Advanced Economics and
Finance

Course coordinator  


Contact information: https://ecampus.dk/studium/kontakt  
Main academic disciplines  


Last updated on 04032016 
Learning objectives  
To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: Upon the end of the course the students will be
able to:


Course prerequisites  
Please note that this course is taught at an elite level and requires a high level of mathematics and probability theory. More specifically, it requires Derivatives and Risk Management from the MSc in Advanced Economics and Finance (cand.oecon) program or similar curriculum. Knowledge of econometrics is an advantage.  
Prerequisites for registering for the exam  
Number of mandatory
activities: 1
Compulsory assignments
(assessed approved/not approved)
Oral assignment in groups: In the last part of the course, all students must analyze and orally present their results of a case study. The presentations will take place during the last class of the course. The group size will be announced during the first weeks of the course. In case the oral assignment is not approved, the student will be given the possibility to make a new oral presentation before the ordinary exam. The exact date of this representation will be announced on MyCBS during the last week of the course. 

Examination  


Course content and structure  
The course provides the students with a profound knowledge of
key concepts, relations, and models in commodity markets in general
and energy markets in particular. Further, the course provides the
students with knowledge of real options analysis and how
this can be applied to managerial decision making.
The course focuses on energy markets in particular. Energy markets are challenging due to the number of cross product substitutions, the various competitive settings in the sector, the institutional details of the distribution channels of the different products, the different market structures, and the highly sophisticated derivatives markets. In particular, energy prices experience seasonality, mean reversion, spikes/jumps, and nonconstant volatility. Moreover, the physical character of the products creates many differentiated markets with lower liquidity comparing to other financial markets. Therefore investment decisions related to these markets are also challenging and here real options analysis turns out to be very suitable and applicable. 

Teaching methods  
 Class lectures
 Case study  Exercises 

Student workload  


Expected literature  
