Senior Quantitative Analyst Power & Gas Pricing Ph.D.

Senior Quantitative Analyst Power & Gas Pricing

Aufgaben

Further developing of energy valuation models for models involving physical assets and structured energy / Analysing the value of physical assets with techno‑economic parameters (power plants, lifespans, costs) and structured energy products such as tracker certificates, barrier reverse convertibles (BRCs), knock‑out warrants, (swing) contracts (e.g. price volatility, volume constraints) / Apply key valuation methods, such as static time value curves, stochastic models, Least Squares Monte Carlo simulations, Monte Carlo simulations, stochastic dynamic programming (SDP) or the discounted cash flow (DCF) method / Development of stochastic models for power and gas price as well as for market and price trends / Calibrating models using market and fundamental data to bridge the gap between theoretical mathematics and real‑world forecasts and pricing, as well as backtesting of models using historical market an...