Program

Program

Update November 2013:
For the slides of our talks (if available) please check the links in the program below. 
Pictures of our conference can be viewed here.

 

The conference will feature invited speakers and contributed talks.

  • Opening Address: Peter Terium (CEO, RWE AG)

  • Conference dinner with dinner speech: Stefan Judisch (CEO, RWE Supply & Trading) 


Confirmed invited speakers:

  • René Carmona (Princeton University)
    Financialization of the Commodity Markets: what does it all mean for energy finance? 
    Abstract 

  • Wolfgang Härdle (Humboldt-Universität zu Berlin)
    Pricing Chinese Rain
    Abstract 

  • Fred Espen Benth (University of Oslo)
    A note on cointegration in commodity markets
    Abstract     Slides

  • Sjur Westgaard (Norwegian University of Science and Technology, Trondheim)
    Value at Risk modelling using Exponential Weighted Moving Average Volatility with Quantile Regression 
    Abstract     Slides

  • Luca Taschini (London School of Economics)
    Pollution permits, Strategic Trading and Dynamic Technology Adoption
    Abstract 

  • Sebastian Jaimungal (University of Toronto)
    Risk and Ambiguity in Real Option Cash-Flows
    Abstract 

  • Chitro Majumdar (R-square RiskLab)
    Energy Swap in Gulf States - Changing Patterns
    Abstract 

 
For news regarding the program please click here.

  

Wednesday, Oct. 9

  8:30  –   9:30

Registration

  9:30  –   9:45

Welcome & Introduction

  9:45  – 10:15

Opening Address: Peter Terium (CEO, RWE AG)

10:15  – 11:00

Invited Talk: René Carmona, Princeton University
Financialization of the Commodity Markets: what does it all mean for energy finance?
Abstract

11:00  – 11:30

Coffee Break

11:30  – 12:15

Invited Talk: Wolfgang Härdle, Humboldt-Universität zu Berlin
Pricing Chinese Rain
Abstract

12:15  – 13:00

Invited Talk: Fred Espen Benth, Universität Oslo
A note on cointegration in commodity markets
AbstractSlides

13:00  – 14:00

Lunch

14:00  – 15:45

Contributed Talks

Real Options (Room 609)

Weather Derivatives (Room B)

Reinhard Madlener:
Hydrogen Storage for Wind Parks - A Real Options Evaluation for Optimal Investment in Flexibility
 Abstract

Maria Osipenko:
Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
Abstract Slides

Stein-Erik Fleten:
Keeping the Lights On Until the Regulator Makes Up His Mind!
Abstract Slides

Brenda López Cabrera:
Pricing rainfall futures at CME
Abstract
Christian Maxwell:
Using Real Option Analysis to Quantify Ethanol Policy Impact on Production
Abstract Slides		Franziska Schulz:
Forecasting Generalized Quantiles of Electricity Demand: A functional Data Approach
Abstract

Phillip Ringler:
Accounting for Real Options in Power Plant Investments using an Agent-Based Simulation Model of Electricity Markets
Abstract

Nina Lange:
Energy Quanto Options
Abstract Slides

15:45  – 16:15

Coffee Break

16:15  – 18:25

Contributed Talks

Power Plants (Room 609)

Forecasting / Data Analysis (Room B)

Piergiacomo Sabino:
Enhancing Least Squares Monte Carlo with Diffusion Bridges: an Application to Virtual Hydro Power Plants
Abstract Slides

Rafal Weron:
Forecasting of daily electricity spot prices by incorporating intra-day relationships and fundamental variables: Evidence form the UK power market
Abstract
Wolfgang Raabe:
Calculation of Monte Carlo Sensitivities for a portfolio of time coupled options subject to external constraints
Abstract Slides		Eran Raviv:
An empirical comparison of alternate schemes for combining electricity spot price forecasts
Abstract
Anna Nazarova:
Model Risk In Energy Markets
Abstract Slides		Gulsum Akarsu:
The effect of economic volatility on electricity demand: Panel data analysis for turkey
Abstract Slides
Florentina Paraschiv:
Medium-term planning for thermal electricity production
Abstract Slides		Melanie A. Houllier:
Are EU Electricity Markets Converging Towards a Single Market? A Fractional Cointegration Analysis
Abstract
Stefan Ankirchner:
Hedging forward positions: basis risk versus liquidity costs
Abstract Slides		Jakub Nowotarski:
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
Abstract Slides


Thursday, Oct. 10

  8:30   

Conference office opens

  8:45  –   9:30

Invited Talk: Sebastian Jaimungal
Risk and Ambiguity in Real Option Cash-Flows
Abstract

  9:30  – 10:15

Invited Talk: Sjur Westgaard
Value at Risk modelling using Exponential Weighted Moving Average Volatility with Quantile Regression -An analysis of ICE, ICE-ENDEX, EEX, and Nasdaq OMX Energy Futures Markets
Abstract Slides

10:15  – 10:45

Coffee Break

10:45  – 12:30

Contributed Talks

Derivatives I (Pricing) (Room B)

General Theory (Room 609)

Tommaso Pellegrino:
On the Use of the Moment-Matching Technique for Pricing and Hedging Multi-Asset Spread Options
Abstract Slides

Stefan Trück:
How is Convenience Yield Risk Priced?
Abstract

Tiziano Vargiolu:
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
Abstract Slides

Andreas Wagner:
Integrated Electricity Spot and Forward Model
Abstract Slides

Marcus Nossman:
A Cointegrated Spot-Swap Model for Power Prices: A Regime Switching Approach with Stochastic Volatility and Jumps
Abstract Slides

Michael Kustermann:
A Structural Model for Interconnected Electricity Markets
Abstract Slides

Paul Krühner:
On Forward Modelling In Electricity Markets: An infinite Dimensional Stochastic Analysis Perspective
Abstract Slides

Salvador Ortiz-Latorre:
A pricing measure to explain risk premium in power markets
Abstract Slides

12:30  – 13:30

Lunch

Poster session

13:30  – 15:15

Contributed Talks

Derivatives II (Forwards/Futures) (Room B)

Sponsors Session (Room 609)

Che Mohd Imran Che Taib:
Forward pricing in the shipping freight market
Abstract Slides

DEVnet
Effective Correlation Monitoring of large Data Streams
Abstract
Mehtap Kilic:
Electricity futures prices: time varying sensitivity to fundamentals
Abstract 		d-fine
Optimization of Trading Strategies in In-complete Power and Gas Markets
Abstract Slides
Michael Schürle:
Price dynamics in gas markets
Abstract 		Platinion
Risk Architectures in the Energy Industry
Abstract Slides
Michał Zator:
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
Abstract Slides		RWE Supply & Trading
Challenges of Power Price Forecasting
Abstract Slides

15:15  – 15:30

Coffee Break

15:30  

Social events 

Afterwards

Conference dinner


Friday, Oct. 11

  8:45   

Conference office opens 

  9:00  – 9:45

Invited Talk: Chitro Majumdar
Energy Swap in Gulf States - Changing Patterns
Abstract


Update 09.10.2013 - Chitro Majumdar Talk is cancelled, instead: 
David G. Stack
Natural Gas and Crude Oil in Europe: Have they decoupled? 
Abstract 

 

  9:45  – 10:15

Coffee Break

10:15  – 12:00

Contributed Talks

Oil/Gas Markets (Room B)

Derivatives III (Room 609)

Nicolas Koch:
Tail events: A New Approach to Understanding Extreme Energy Commodity Prices
Abstract Slides

Sara Ana Solanilla Blanco:
Forward prices as functionals of the spot path in commodity markets modeled by lévy semistationary processes
Abstract

Yoichi Otsubo:
Location Basis Differentials in Crude Oil Prices
Abstract 		Nikolai Dokuchaev:
Continuously controlled options and related first order backward SPDEs
Abstract Slides
Martin Hain:
Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market
Abstract 		Jeannette Woerner:
Modelling and pricing in electricity markets with oscillating Ornstein-Uhlenbeck processes
Abstract
Svetlana Borovkova:
News, volatility and jumps: the case of Natural Gas futures
Abstract Slides		Paolo Falbo : 
Design of efficient cap-and-trade systems: An equilibrium analysis
Abstract Slides

12:00  – 13:00

Lunch

13:00  – 13:45

Invited Talk: Luca Taschini
Pollution permits, Strategic Trading and Dynamic Technology Adoption
Abstract

13:45  – 15:30

Contributed Talks

Emissions / Renewable (Room B)

Financialisation of Energy (Room 609)
Steffen Hitzemann:
Empirical Performance of Reduced-Form Models for Emission Permit Prices
Abstract Slides		Carlo Lucheroni:
Thermal and Nuclear Energy Portfolio Selection using LCOE CVaR
Abstract Slides
Thijs Benschop:
Volatility Modelling of CO2 Spot Prices Usi-ng Markov Switching Models
Abstract Slides		Frank Lehrbass:
Coping with the Clearing Obligation – from the Perspective of an Industrial Corporate with a Focus on Commodity Markets
Abstract Slides
Sascha Kollenberg:
Governmental interventions on carbon markets
Abstract 		Roel Brouwers:
The impact of EU ETS verification events on stock prices
Abstract Slides
Ronald Huisman:
Renewable Energy and Electricity Prices: Indirect Empirical Evidence from Hydro Power
Abstract Slides		Pierre Six:
Convenience Yield and Adjusted Basis Stylized Facts
Abstract Slides

15:30  – 15:45  

Closing Remarks