Die Vorträge im Sommersemester 2018 finden in der Regel mittwochs von 18:00 - 20:00  im Raum S06 S00 A16 (Wegbeschreibung) auf dem Campus Essen statt. 

Termine und Vortragende:

25.04.2018: Prof. Lorenz Schneider, EMLYON Business School, Lyon

Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets

Abstract:

We introduce a multi-factor stochastic volatility model based on the CIR/Heston variance process that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corresponding volatility factor is well-defined are given, and five different specifications of the seasonality pattern are proposed. We calculate the joint characteristic function of two futures prices for different maturities in the risk-neutral measure, and explain how European options on futures and calendar spread options can be priced. The model is then presented under the physical measure, and its state-space representation is derived, in order to estimate the model's parameters with the Kalman filter for time series of corn, cotton, soybean, sugar and wheat futures from 2007 to 2017. We see that the seasonal model significantly outperforms the nested non-seasonal model in all five markets, and show which seasonality patterns are particularly well-suited for each market. We also confirm the importance of correctly modelling the Samuelson effect in order to account for futures with different maturities.

06.06.2018: Prof. Emanuele Bajo, University of Bologna

Ownership ties, conflicts of interest and the tone of news

Abstract:

In this paper we investigate the tone used by newspapers in reporting information on a company, which is in a conflict of interest regarding ownership ties with the publishing firm. We investigate this issue using Italy as empirical setting, a country characterized by a newspaper industry highly owned by nationally-dominant industrial groups. Based on a sample of about 123,000 articles we document that newspapers produce larger coverage and a significantly smaller number of negative and uncertain words for firms with a conflict of interest. We also document that the slant is increasing with the incentive to favorable distort news (magnitude of the ownership stake) and decreasing with the newspaper's reputation.

04.07.2018: Prof. Mike Ludkovski, UCSB, Santa Barbara

Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective

Abstract:

Storage optimization is an important problem in energy finance, arising in the context of managing natural gas caverns, hydro-dam operations, and battery storage linked to renewable electricity generation. The talk will address simulation-based strategies for the underlying dynamic optimization problem. I will review the history of the Regression Monte Carlo framework starting from the seminal work by Longstaff-Schwartz to the latest state-of-the-art. I will then describe the  Dynamic Emulation Algorithm (DEA) that we developed, which unifies the different existing approaches in a single modular template. DEA moreover links to the vast machine learning toolbox, highlighting the two central aspects of regression architecture and experimental design. Among novel DEA implementations, I will discuss Gaussian process regression, as well as numerous simulation designs (space-filling, sequential, adaptive, batched).  The overall DEA template is illustrated with multiple case-studies, in particular from natural gas storage valuation and optimal control of back-up generator in a power microgrid. This is joint work with Aditya Maheshwari (UCSB).