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 OrnsteinUhlenbeck 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 
hpDGFEM for KolmogorovFokkerPlanck 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 arearelated 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)
