Presentation of the course leader Dr. Rene Aid
Dr Rene Aid is a research engineer in the R&D group at EDF in Paris, and leader of the Finance fo Energy Market Research Centre (FiME). FiME is a joint research project between the Université Paris-Dauphine, the Centre for Research in Economics and Statistics (CREST), the Ecole Polytechnique and the R&D Division of the EDF group. This research centre is part of the Chair Dauphine Ecole Polytechnique EDF Credit Agricole CIB "Finance and Sustainable Development - A Quantitative Approach". Dr Aid is a reputed researcher within the field of energy finance, with several publications in top academic journals. He is also a popular speaker at both industry and academic conferences world-wide.
The lectures
These lectures are intended for academics and PhD students who wants to get a overview on electricity derivatives evaluation and hedging. It will cover three aspects. First, it will explain the electricity market microstructure with a focus on the aspects that make electricity such a special commodity. Second, an overview of the different electricity price models will be given with a focus on the class of structural models. Third, on overview of the state of the art of the different evaluation method will be presented for the most particular derivatives in electricity, namely spreads, power plants, and storage.
More particularly, the mini-course will cover the following points :
1. Electricity markets microstructure
2. Electricity spot and futures prices (structural models)
3. Derivatives (retail pricing, weather, power plants and storage valuation and hedging)