Contributed Talks: Slides & Papers

1Reinhard MadlenerCost evaluation of credit risk securitization in the electricity industry: credit default acceptance vs. margining costs 
2Stelios KourouvakalisA lattice-based method for valuing swing option contracts under the Threshold modelSlides
3Bernd TersteegenInvestigations on Factors Influencing the Operational Benefit of Stochastic Optimization in Generation and Trading PlanningSlides
4Sjur  WestgaardCovariance estimation using high-frequency data: An Analysis of Nord Pool electricity forward dataSlides
5Dogan KelesA comparison of extended electricity price models considering the impact of wind energy feed-inSlides
6Svetlana BorovkovaAsian basket options and implied correlationsSlides
7Nina LangeSeasonality in energy prices: From a term structure model to an affine model 
8Joachim GahunguSufficient and necessary conditions for perpetual multi-assets exchange optionsSlides
9Frowin SchulzExplaining Time-Varying Risk of Electricity Forwards: Trading Activity and News AnnouncementsPaper
10Johannes MüllerOn Clearing Coupled Day-Ahead Electricity MarketsSlides
11Gauthier de Maere d'AertryckeLiquidity Risks on Power ExchangesSlides
12Jukka LempaOn Optimal Exercise Of Swing Options In Electricity MarketsSlides
13Brenda López CabreraLocalizing temperature risk 
14Peter SchuetterleValuation of VPP contracts under a lognormal swap market modelSlides
15Christian RedlComponents of the Forward Market Premium in ElectricitySlides
16Daniel SchwarzRisk-Neutral Pricing of Financial Instruments in Emission Markets - A Hybrid ApproachSlides
17Almut VeraartModelling electricity forward markets by ambit fieldsPaper
18Carlos PinhoCO2 spot and futures price analysis for EEX and ECX 
19Tobias FedericoInteraction of spot and future prices for electricitySlides
20Mara MadalenoHedging with CO2 allowances: the ECX marketSlides
21Richard Biegler-KönigThe Information Premium in Electricity MarketsSlides
22Stefan GiebelStochastic estimation of energy resources and prices via neural network adapted stable processes 
23Arne  AndresenA Spot Price Model with Short-, Medium- and Long-Term ComponentsSlides
24Takashi KanamuraConvenience Yield-Based Pricing of Commodity FuturesSlides
25Stefan SchneiderPower spot price models with negative pricesSlides
26Alexander BoogertGas storage valuation using a multi-factor price processSlides
27Linda VosModeling electricity prices: spots, forwards and the risk premiumSlides
28Dmitry LesnikStorage option: an Analytic approachSlides
29Carlo LucheroniA SETARX model for spikes and antispikes in electricity marketsSlides
30Volker TermathHedging and Optimizing Gas Storage from a Trader’s PerspectiveSlides