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Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)

Organizers: René Aid (EdF), PF Fred Espen Benth (U. Oslo), PF Valery Kholodnyi (Verbund), Peter Laurence (U.Roma), Walter Schachermayer (WPI c/o U. Wien), OTPF Almut Veraart (Imperial College)

Talks


Filipovic, Damir WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 9:00
Polynomial term structure models
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Ortiz Latorre, Salvador WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 11:15
On a new pricing measure for electricity and commodity markets
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Bennedsen, Mikkel WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 11:40
Modelling Commodity Prices by Brownian Semistationary Processes
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Babajan, George WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 12:05
Modelling fuel and power spot prices with multiregime Ornstein-Uhlenbeck processes driven by jump Lévy noises
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Veraart, Almut WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 14:00
Ambit fields and applications to energy markets
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Pakkanen, Mikko WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 16:30
Volatility estimation for ambit fields
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Eyjolfsson, Heidar WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 16:55
Efficient simulation of ambit fields using Fourier inversion
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Kruehner, Paul WPI, OMP 1, Seminar Room 08.135 Mon, 7. Apr 14, 17:20
Representation of infinite dimensional forward price models in commodity markets
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Haerdle, Wolfgang WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 9:00
Localising temperature curves
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Solanilla Blanco, Sara Ana WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 11:15
Approximation of the HDD and CDD temperature futures prices dynamics
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Reichmann, Oleg WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 11:40
hp-DGFEM for Kolmogorov-Fokker-Planck Equations of Multivariate Lévy Processes
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Benth, Fred Espen WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 14:00
Weather markets and stochastic partial differential equation
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Schmidt, Volker WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 16:30
A probabilistic approach to the prediction of area-related weather events
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

Detering, Nils WPI, OMP 1, Seminar Room 08.135 Tue, 8. Apr 14, 16:55
Measuring the model risk of quadratic risk minimizing hedging strategies with an application to energy markets
  • Thematic program: Financial Engineering for Energy Risk management and efficient pricing of energy derivatives: Special Emphasis Climate (2013)
  • Event: Workshop on "Mathematical Finance/Energy" (2014)

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