Wolfgang Pauli Institute (WPI)

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)

Pauli Fellows

Kholodnyi, Valery

1. Jan 2012-31. Mar 2013

Olga Taussky Pauli Fellows

Veraart, Almut

Verbund/Oslo

1. Jan 2012-31. Mar 2013

Visitors

Aid, René	100% Co-Funding	17. Sep 2012-19. Sep 2012
Barndorff-Nielsen, Ole		15. Sep 2012-20. Sep 2012
Benth, Fred		16. Sep 2012-19. Sep 2012
Biltmo, Anders	100% Co-Funding	16. Sep 2012-19. Sep 2012
Bossy, Mireille	100% Co-Funding	16. Sep 2012-19. Sep 2012
Chabas, Julien	Local	16. Sep 2012-19. Sep 2012
Coulon, Michael		16. Sep 2012-20. Sep 2012
Davison, Matthew	100% Co-Funding	15. Sep 2012-20. Sep 2012
Detering, Nils		18. Jun 2013-20. Jun 2013
Dranovski, Anne		22. Jun 2012-23. Jun 2012
Eberle, Simon	LOCAL	17. Sep 2012-19. Sep 2012
Forsyth, Peter	Verbund/Oslo	21. Jun 2012-24. Jun 2012
Frolkovic, Peter		22. Jun 2012-23. Jun 2012
Fürst, Johannes	100% Co-Funding	17. Sep 2012-19. Sep 2012
		19. Jun 2013-20. Jun 2013
Gobet, Emmanuel		16. Sep 2012-19. Sep 2012
Gottlieb, Dr., Alexander	LOCAL	19. Jun 2013-20. Jun 2013
Gross, Peter	LOCAL	16. Sep 2012-19. Sep 2012
Gubina, Andrej	100% Co-Funding	16. Sep 2012-19. Sep 2012
Hanewald, Martin	100% Co-Funding	17. Sep 2012-19. Sep 2012
Heider, Pascal	100% Co-Funding	16. Sep 2012-19. Sep 2012
Heiny, Johannes	LOCAL	19. Jun 2013-20. Jun 2013
Hirschmann, David	Local	22. Jun 2012-23. Jun 2012
	Local	16. Sep 2012-19. Sep 2012
	LOCAL	19. Jun 2013-20. Jun 2013
Junginger, Thomas	100% Co-Funding	16. Sep 2012-19. Sep 2012
Kentia, Klebert		19. Jun 2013-20. Jun 2013
Khedher, Asma	100% Co-Funding	16. Sep 2012-19. Sep 2012
Kholodnyi, Valery	100% Co-Funding	22. Jun 2012-23. Jun 2012
	100% Co-Funding	17. Sep 2012-19. Sep 2012
		19. Jun 2013-20. Jun 2013
Kiesel, Rüdiger		16. Sep 2012-18. Sep 2012
Kindall, Kevin		15. Sep 2012-19. Sep 2012
Kott, Thomas	100% Co-Funding	17. Sep 2012-19. Sep 2012
Kremser, Thomas	LOCAL	17. Sep 2012-19. Sep 2012
Kruse, Thomas	100% Co-Funding	16. Sep 2012-19. Sep 2012
Kulikov, Alexander	100% Co-Funding	16. Sep 2012-19. Sep 2012
Kustermann, Michael	100% Co-Funding	17. Sep 2012-19. Sep 2012
Kutik, Pavol	Local	22. Jun 2012-23. Jun 2012
Lange, Nina	100% Co-Funding	16. Sep 2012-19. Sep 2012
Laurence, Peter		21. Jun 2012-26. Jun 2012
		16. Sep 2012-22. Sep 2012
Lautier, Delphine		16. Sep 2012-18. Sep 2012
Lopez-Cabrera, Brenda		15. Sep 2012-19. Sep 2012
Mashayekhi, Sima		22. Jun 2012-24. Jun 2012
Mihaylov, Ivo	100% Co-Funding	16. Sep 2012-20. Sep 2012
Missaoui, Badr		19. Jun 2013-20. Jun 2013
Nossman, Marcus	100% Co-Funding	16. Sep 2012-19. Sep 2012
Ohswald, Felix	LOCAL	22. Jun 2012-23. Jun 2012
Okhrati, Ramin	LOCAL	17. Sep 2012-19. Sep 2012
Paulsen, Volkert	100% Co-Funding	17. Sep 2012-19. Sep 2012
Perger, Peter	LOCAL	1. Jan 2001-1. Jan 2001
Petri, Arno	100% Co-Funding	17. Sep 2012-19. Sep 2012
Petritsch, Gerold	LOCAL	17. Sep 2012-19. Sep 2012
Rammerstorfer, Margarethe	LOCAL	17. Sep 2012-19. Sep 2012
Rasmussen, Christoffer	100% Co-Funding	16. Sep 2012-19. Sep 2012
Ritter, Matthias	100% Co-Funding	16. Sep 2012-20. Sep 2012
Rösler, Lars	LOCAL	19. Jun 2013-20. Jun 2013
Roser, Manuela	100% Co-Funding	16. Sep 2012-19. Sep 2012
Schölderle, Daniel	100% Co-Funding	16. Sep 2012-19. Sep 2012
Semenchenko, Dimitri	100% Co-Funding	16. Sep 2012-19. Sep 2012
Sgarra, Carlo	100% Co-Funding	16. Sep 2012-20. Sep 2012
Shaikh-Soltan, Mousa	100% Co-Funding	21. Jun 2012-24. Jun 2012
Shiraya, Kenichiro	100% Co-Funding	15. Sep 2012-22. Sep 2012
Simonov, Illia		19. Jun 2013-20. Jun 2013
Solanilla Blanco, Sara Ana	100% Co-Funding	16. Sep 2012-20. Sep 2012
Steck, Sebastian	100% Co-Funding	19. Jun 2012-23. Jun 2012
Tabak, Esteban		16. Sep 2012-22. Sep 2012
Taib, Imran	100% Co-Funding	16. Sep 2012-20. Sep 2012
Talay, Denis		18. Jun 2013-21. Jun 2013
Tankov, Peter		17. Sep 2012-19. Sep 2012
Teller, Carsten	100% Co-Funding	17. Sep 2012-19. Sep 2012
Tsuzuki, Yukihiro	100% Co-Funding	16. Sep 2012-19. Sep 2012
Veraart, Almut		16. Sep 2012-18. Sep 2012
Verschure, Michel	Local	22. Jun 2012-23. Jun 2012
Warin, Xavier	100% Co-Funding	16. Sep 2012-19. Sep 2012
Warnung, Richard		19. Jun 2013-20. Jun 2013
Zdanowicz, Hanna	100% Co-Funding	16. Sep 2012-19. Sep 2012