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 AbstractSlides | |
| 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 SPDEs 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 | |