Contributed Talks: Slides & Papers

1 Reinhard Madlener Cost evaluation of credit risk securitization in the electricity industry: credit default acceptance vs. margining costs  
2 Stelios Kourouvakalis A lattice-based method for valuing swing option contracts under the Threshold model Slides
3 Bernd Tersteegen Investigations on Factors Influencing the Operational Benefit of Stochastic Optimization in Generation and Trading Planning Slides
4 Sjur  Westgaard Covariance estimation using high-frequency data: An Analysis of Nord Pool electricity forward data Slides
5 Dogan Keles A comparison of extended electricity price models considering the impact of wind energy feed-in Slides
6 Svetlana Borovkova Asian basket options and implied correlations Slides
7 Nina Lange Seasonality in energy prices: From a term structure model to an affine model  
8 Joachim Gahungu Sufficient and necessary conditions for perpetual multi-assets exchange options Slides
9 Frowin Schulz Explaining Time-Varying Risk of Electricity Forwards: Trading Activity and News Announcements Paper
10 Johannes Müller On Clearing Coupled Day-Ahead Electricity Markets Slides
11 Gauthier de Maere d'Aertrycke Liquidity Risks on Power Exchanges Slides
12 Jukka Lempa On Optimal Exercise Of Swing Options In Electricity Markets Slides
13 Brenda López Cabrera Localizing temperature risk  
14 Peter Schuetterle Valuation of VPP contracts under a lognormal swap market model Slides
15 Christian Redl Components of the Forward Market Premium in Electricity Slides
16 Daniel Schwarz Risk-Neutral Pricing of Financial Instruments in Emission Markets - A Hybrid Approach Slides
17 Almut Veraart Modelling electricity forward markets by ambit fields Paper
18 Carlos Pinho CO2 spot and futures price analysis for EEX and ECX  
19 Tobias Federico Interaction of spot and future prices for electricity Slides
20 Mara Madaleno Hedging with CO2 allowances: the ECX market Slides
21 Richard Biegler-König The Information Premium in Electricity Markets Slides
22 Stefan Giebel Stochastic estimation of energy resources and prices via neural network adapted stable processes  
23 Arne  Andresen A Spot Price Model with Short-, Medium- and Long-Term Components Slides
24 Takashi Kanamura Convenience Yield-Based Pricing of Commodity Futures Slides
25 Stefan Schneider Power spot price models with negative prices Slides
26 Alexander Boogert Gas storage valuation using a multi-factor price process Slides
27 Linda Vos Modeling electricity prices: spots, forwards and the risk premium Slides
28 Dmitry Lesnik Storage option: an Analytic approach Slides
29 Carlo Lucheroni A SETARX model for spikes and antispikes in electricity markets Slides
30 Volker Termath Hedging and Optimizing Gas Storage from a Trader’s Perspective Slides