Mathematical-finance: Applications to Energy Markets, Risc Management and Pricing of Derivatives (2012)

Organizers: 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)

Events

Mini-Course: "Model risk in finance"
Location: WPI Seminar Room C 714 Time: 19. Jun 2013 (Wed) - 20. Jun 2013 (Thu); Opening: 10:00
Topics: The objective of these lessons is to show that model risk, particularly financial model risk, is intrinsic to stochastic modelling, and that its analysis opens new challenging mathematical and numerical questions. We will also present recent results which concern strategies which, issued from the technical analysis, do not rely on a specific mathematical model and therefore are robust w.r.t model risk. Various theories will be used, such as statistics of random processes, stochastic control, Malliavin calculus, backward stochastic differential equations, viscosity solutions of nonlinear Partial Differential equations. However the course will be self-contained
Organisation(s) WPI Organiser(s) Peter Laurence (U. Roma) René Aid (Electricite' de France) Fred Benth (U. Oslo) Valery Kholodnyi (Verbund)
Remark: Speaker: Prof. Denis Talay Registration for this mini-course is free, but is mandatory. Please register by sending an email to laurenceWPI@gmail.com Please send only one email per registree, i.e. please do not try and register a second person. Registration will close when all seats are taken.

Conference: Financial Engineering for Energy and Commodity Risk Management and hedging of Commodity Derivatives (external website )
Location: UZA 2, HS 3 Time: 17. Sep 2012 (Mon) - 19. Sep 2012 (Wed); Opening: 9:00
Topics: The second 3-DAY CONFERENCE, co- funded by WPI, EDF and VERBUND, will take place September 17-19, 2012, at WPI. The entire conference will be devoted to the special year's thematic program "Financial Engineering in Energy and Commodity Markets". All those wishing to attend need to register, sending an email to address below. The 3-day conference will feature 10 invited talks a day and several contributed talks a day. We invite submissions of CONTRIBUTED TALKS. The DEADLINE is JULY 1. The selected Contributed talks will be announced by July 15. A tentative version of the program is available HERE
Organisation(s) WPI Organiser(s) Peter Laurence (U. Roma) René Aid (Electricite' de France) Fred Benth (U. Oslo) Valery Kholodnyi (Verbund) Almut Veraart (Imperial College)
Remark: Click here for further information

Mini-Course: "Numerical methods for Hamilton-Jacobi equations in mathematical finance"
Location: WPI Seminar Room C714 Time: 22. Jun 2012 (Fri) - 23. Jun 2012 (Sat); Opening: 9:00
Topics: Many problems in finance can be posed as non-linear Hamilton Jacobi Bellman (HJB) Partial Integro Differential Equations (PIDEs). Examples of such problems include: dynamic asset allocation for pension plans, optimal operation of natural gas storage facilities, optimal execution of trades, and pricing of variable annuity products. (e.g. Guaranteed Minimum Withdrawal Benefit). This course will discuss general numerical methods for solving the HJB PDEs which arise from these types of problems. After an introductory lecture, we will give an example where seemingly reasonable methods do not Course highlights: Day 1: (e.g. Guaranteed Minimum Withdrawal Benefit).
Organisation(s) WPI Organiser(s) Peter Laurence (U. Roma) René Aid (Electricite' de France) Fred Benth (U. Oslo) Valery Kholodnyi (Verbund) Almut Veraart (Imperial College)
Remark: Speaker: Professor Peter Forsyth, University of Waterloo Mathematical Models for the commodity markets (Numerical methods for Hamilton-Jacobi equations in finance)

Talks in the framework of this thematic program... (by date) , (by name)

Pauli Fellows