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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

Kholodnyi, Valery 1. Jan 2012-31. Mar 2013 local address 

Olga Taussky Pauli Fellows

Veraart, Almut Verbund/Oslo 1. Jan 2012-31. Mar 2013 local address 

Visitors

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