Program

Update November 2013:
For the slides of our talks (if available) please check the links in the program below. 
Pictures of our conference can be viewed here.

 

The conference will feature invited speakers and contributed talks.

  • Opening Address: Peter Terium (CEO, RWE AG)

  • Conference dinner with dinner speech: Stefan Judisch (CEO, RWE Supply & Trading) 


Confirmed invited speakers:

  • René Carmona (Princeton University)
    Financialization of the Commodity Markets: what does it all mean for energy finance? 
    Abstract 

  • Wolfgang Härdle (Humboldt-Universität zu Berlin)
    Pricing Chinese Rain
    Abstract 


  • Fred Espen Benth (University of Oslo)
    A note on cointegration in commodity markets
    Abstract 
    Slides

  • Sjur Westgaard (Norwegian University of Science and Technology, Trondheim)
    Value at Risk modelling using Exponential Weighted Moving Average Volatility with Quantile Regression 
    Abstract 
    Slides

  • Luca Taschini (London School of Economics)
    Pollution permits, Strategic Trading and Dynamic Technology Adoption
    Abstract 


  • Sebastian Jaimungal (University of Toronto)
    Risk and Ambiguity in Real Option Cash-Flows
    Abstract 


  • Chitro Majumdar (R-square RiskLab)
    Energy Swap in Gulf States - Changing Patterns
    Abstract 

 
For news regarding the program please click here.

  

Wednesday, Oct. 9
  8:30  –   9:30 Registration
  9:30  –   9:45 Welcome & Introduction
  9:45  – 10:15 Opening Address: Peter Terium (CEO, RWE AG)
10:15  – 11:00 Invited Talk: René Carmona, Princeton University
Financialization of the Commodity Markets: what does it all mean for energy finance?
Abstract
11:00  – 11:30 Coffee Break
11:30  – 12:15 Invited Talk: Wolfgang Härdle, Humboldt-Universität zu Berlin
Pricing Chinese Rain
Abstract
12:15  – 13:00 Invited Talk: Fred Espen Benth, Universität Oslo
A note on cointegration in commodity markets
Abstract
Slides
13:00  – 14:00 Lunch
14:00  – 15:45 Contributed Talks
Real Options (Room 609)
Weather Derivatives (Room B)
Reinhard Madlener:
Hydrogen Storage for Wind Parks - A Real Options Evaluation for Optimal Investment in Flexibility
Abstract
Maria Osipenko:
Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
Abstract 
Slides
Stein-Erik Fleten:
Keeping the Lights On Until the Regulator Makes Up His Mind!
Abstract
Slides
Brenda López Cabrera:
Pricing rainfall futures at CME
Abstract
Christian Maxwell:
Using Real Option Analysis to Quantify Ethanol Policy Impact on Production
Abstract
Slides
Franziska Schulz:
Forecasting Generalized Quantiles of Electricity Demand: A functional Data Approach
Abstract
Phillip Ringler:
Accounting for Real Options in Power Plant Investments using an Agent-Based Simulation Model of Electricity Markets
Abstract

Nina Lange:
Energy Quanto Options
Abstract 
Slides
15:45  – 16:15 Coffee Break
16:15  – 18:25 Contributed Talks
Power Plants (Room 609)
Forecasting / Data Analysis (Room B)
Piergiacomo Sabino:
Enhancing Least Squares Monte Carlo with Diffusion Bridges: an Application to Virtual Hydro Power Plants
Abstract Slides
Rafal Weron:
Forecasting of daily electricity spot prices by incorporating intra-day relationships and fundamental variables: Evidence form the UK power market
Abstract
Wolfgang Raabe:
Calculation of Monte Carlo Sensitivities for a portfolio of time coupled options subject to external constraints
Abstract
Slides
Eran Raviv:
An empirical comparison of alternate schemes for combining electricity spot price forecasts
Abstract
Anna Nazarova:
Model Risk In Energy Markets
Abstract
Slides
Gulsum Akarsu:
The effect of economic volatility on electricity demand: Panel data analysis for turkey
Abstract 
Slides
Florentina Paraschiv:
Medium-term planning for thermal electricity production
Abstract
Slides
Melanie A. Houllier:
Are EU Electricity Markets Converging Towards a Single Market? A Fractional Cointegration Analysis
Abstract
Stefan Ankirchner:
Hedging forward positions: basis risk versus liquidity costs
Abstract
Slides
Jakub Nowotarski:
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
Abstract 
Slides


Thursday, Oct. 10
  8:30    Conference office opens
  8:45  –   9:30 Invited Talk: Sebastian Jaimungal
Risk and Ambiguity in Real Option Cash-Flows
Abstract
  9:30  – 10:15 Invited Talk: Sjur Westgaard
Value at Risk modelling using Exponential Weighted Moving Average Volatility with Quantile Regression -An analysis of ICE, ICE-ENDEX, EEX, and Nasdaq OMX Energy Futures Markets

Abstract 
Slides
10:15  – 10:45 Coffee Break
10:45  – 12:30 Contributed Talks
Derivatives I (Pricing) (Room B)
General Theory (Room 609)
Tommaso Pellegrino:
On the Use of the Moment-Matching Technique for Pricing and Hedging Multi-Asset Spread Options

Abstract 
Slides
Stefan Trück:
How is Convenience Yield Risk Priced?
Abstract
Tiziano Vargiolu:
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem

Abstract 
Slides
Andreas Wagner:
Integrated Electricity Spot and Forward Model
Abstract 
Slides
Marcus Nossman:
A Cointegrated Spot-Swap Model for Power Prices: A Regime Switching Approach with Stochastic Volatility and Jumps
Abstract 
Slides
Michael Kustermann:
A Structural Model for Interconnected Electricity Markets
Abstract
Slides
Paul Krühner:
On Forward Modelling In Electricity Markets: An infinite Dimensional Stochastic Analysis Perspective
Abstract
Slides
Salvador Ortiz-Latorre:
A pricing measure to explain risk premium in power markets
Abstract 
Slides
12:30  – 13:30 Lunch

Poster session
13:30  – 15:15 Contributed Talks
Derivatives II (Forwards/Futures) (Room B)
Sponsors Session (Room 609)
Che Mohd Imran Che Taib:
Forward pricing in the shipping freight market
Abstract
Slides
DEVnet
Effective Correlation Monitoring of large Data Streams
Abstract
Mehtap Kilic:
Electricity futures prices: time varying sensitivity to fundamentals
Abstract
d-fine
Optimization of Trading Strategies in In-complete Power and Gas Markets
Abstract
Slides
Michael Schürle:
Price dynamics in gas markets
Abstract
Platinion
Risk Architectures in the Energy Industry
Abstract 
Slides
Michał Zator:
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
Abstract 
Slides
RWE Supply & Trading
Challenges of Power Price Forecasting
Abstract 
Slides
15:15  – 15:30 Coffee Break
15:30   Social events 
Afterwards Conference dinner


Friday, Oct. 11
  8:45    Conference office opens 
  9:00  – 9:45 Invited Talk: Chitro Majumdar
Energy Swap in Gulf States - Changing Patterns
Abstract

Update 09.10.2013 - 
Chitro Majumdar Talk is cancelled, instead
David G. Stack
Natural Gas and Crude Oil in Europe: Have they decoupled? 
Abstract  
  9:45  – 10:15 Coffee Break
10:15  – 12:00 Contributed Talks
Oil/Gas Markets (Room B)
Derivatives III (Room 609)
Nicolas Koch:
Tail events: A New Approach to Understanding Extreme Energy Commodity Prices
Abstract Slides
Sara Ana Solanilla Blanco:
Forward prices as functionals of the spot path in commodity markets modeled by lévy semistationary processes

Abstract

Yoichi Otsubo:
Location Basis Differentials in Crude Oil Prices
Abstract
Nikolai Dokuchaev:
Continuously controlled options and related first order backward SPDE
s
Abstract
Slides
Martin Hain:
Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market
Abstract
Jeannette Woerner:
Modelling and pricing in electricity markets with oscillating Ornstein-Uhlenbeck processes
Abstract
Svetlana Borovkova:
News, volatility and jumps: the case of Natural Gas futures
Abstract
Slides
Paolo Falbo : 
Design of efficient cap-and-trade systems: An equilibrium analysis
Abstract
Slides
12:00  – 13:00 Lunch
13:00  – 13:45 Invited Talk: Luca Taschini
Pollution permits, Strategic Trading and Dynamic Technology Adoption

Abstract
13:45  – 15:30 Contributed Talks
Emissions / Renewable (Room B)
Financialisation of Energy (Room 609)
Steffen Hitzemann:
Empirical Performance of Reduced-Form Models for Emission Permit Prices
Abstract
Slides
Carlo Lucheroni:
Thermal and Nuclear Energy Portfolio Selection using LCOE CVaR
Abstract 
Slides
Thijs Benschop:
Volatility Modelling of CO2 Spot Prices Usi-ng Markov Switching Models
Abstract 
Slides
Frank Lehrbass:
Coping with the Clearing Obligation – from the Perspective of an Industrial Corporate with a Focus on Commodity Markets
Abstract 
Slides
Sascha Kollenberg:
Governmental interventions on carbon markets
Abstract
Roel Brouwers:
The impact of EU ETS verification events on stock prices
Abstract 
Slides
Ronald Huisman:
Renewable Energy and Electricity Prices: Indirect Empirical Evidence from Hydro Power
Abstract
Slides
Pierre Six:
Convenience Yield and Adjusted Basis Stylized Facts
Abstract 
Slides
15:30  – 15:45   Closing Remarks