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)