Wednesday 17th January

9.20 - 9.45
Fred Espen Benth (University of Oslo), Jan Kallsen (Technical University of Munich) and Thilo Meyer Brandis (University of Oslo)
A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
PRESENTATION
PAPER

9.45 - 10.10
Francesca Fontana (Università di Siena), Angelica Gianfreda (London Business School) and Roberto Reno (Università di Siena)
Does it Take Volume to Move Electricity Prices?
PRESENTATION
PAPER

10.10 - 10.35
Amir H. Alizadeh, Nikos K. Nomikos and Panos K. Pouliasis (Cass Business School)
A Markov Regime Switching Approach for Hedging Energy Commodities
PRESENTATION
PAPER

10.35 - 11.10
Paolo Falbo (Università di Brescia), Daniele Felletti (Università di Milano Bicocca) and Stefani Silvana (Università di Milano Bicocca)
A Continuous Time Model for Correlated Energy Price Processes
PRESENTATION
PAPER

11.30 - 11.55
Marco Corazza, Elisa Scalco (University Ca’ Foscari of Venice) and A.G.Malliaris (Loyola University of Chicago)
Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests
PRESENTATION
PAPER

11.55 - 12.20
Steve Ohana (Birkbeck, University of London)
A Dependence Model for Pairs of Commodity Forward Curves: with Application to the US Oil and Gas Markets
PRESENTATION

12.20 - 12.45
Robert Elliot (University of Calgary), Tao Lin (NHH) and Hong Miao (University of Calgary)
A Hidden Markov Stochastic Volatility Model for Energy Prices
PRESENTATION
PAPER

12.45 - 13.10
Roza Galeeva, Jiri Hoogland and Alexander Eydeland (Morgan Stanley)
Measuring Correlation Risk
PRESENTATION
PAPER

14.00 - 14.25
Erkka Näsäkkälä (Helsinki University of Technology) and Jussi Keppo (University of Michigan)
Hydropower with Financial Information
PRESENTATION
PAPER

14.25 - 14.50
Thalia Chanziara (Independent) and George Skiadopoulos (University of Piraeus):
Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets
PRESENTATION
PAPER

14.50 - 15.15
Gerald Gay (Georgia State University), Betty Simkins (Oklahoma State University) and Marian Turac (Georgia State University)
Analyst Forecasts and Price Discovery in Futures Markets: The Case of Natural Gas Storage
PRESENTATION
PAPER

15.15 - 15.40
Martin Richter (Danske Bank A/S) and Carsten Sorensen (Copenhagen Business School)
Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans
PRESENTATION
PAPER

15.40 - 16.05
Svetlana Borovkova (Free University of Amsterdam)
Basket Options and Implied Correlations in Oil Markets
PRESENTATION
PAPER

Keynote Speakers:

16.20 - 16.55
Prof Wolfgang Bühler (University of Mannheim)
Valuation of Electricity Futures: Reduced-Form vs. Dynamic Equilibrium Models
PRESENTATION
PAPER

16.55 - 17.30
Prof Knut Aase (Norwegian School of Economics)
Area Yield Futures and Futures Options: Risk Management and Hedging
PRESENTATION
PAPER

 

Thursday 18th January

9.00 - 9.25
Thomas Lyse Hansen (SNG Consult) and Bjorne Astrup Jensen (Copenhagen Business School)
Options on Energy Portfolios in an HJM Framework
PRESENTATION
PAPER

9.25 - 9.50
Alexander Boogart (Birkbeck, University of London) and Dominique Dupont (University of Twente)
When Supply Meets Demand: The Case of Hourly Spot Electricity Prices
PRESENTATION
PAPER

9.50 - 10.15
Álvaro Cartea, Marcel Figueroa and Hélyette Geman (Birkbeck, University of London)
Modelling Electricity Prices with Forward Looking Capacity Constraints


10.15 - 10.40
Samuel Hikspoors and Sebastian Jaimungal (University of Toronto)
Energy Spot Price Models and Spread Options Pricing
PRESENTATION
PAPER

10.40 - 11.05
Max Fehr and Juri Hinz (ETH Zentrum)
A Quantitative Approach to Carbon Price Risk Modeling
PRESENTATION
PAPER

11.25 - 11.50
Rita D'Ecclesia (Università di Roma):
A Forward Contract to Manage Market Power: the Case of Italy
PRESENTATION
PAPER

11.50 - 12.15
Pablo Villaplana (Spanish National Energy Commission)
Valuation of Electricity Forward Contracts: The Role of Demand and Capacity
PRESENTATION
PAPER

12.15 - 12.40
James Doran (Florida State University) and Ehud Ronn (University of Texas at Austin)
Computing the Market Price of Volatility Risk in the Energy Commodity Markets
PRESENTATION
PAPER

12.40 - 13.05
Takashi Kanamura (J-POWER)
A Supply and Demand Based Volatility Model for Energy Prices
PRESENTATION
PAPER

14.05 - 14.30
Carol Alexander and Aanand Venkatramanan (University of Reading)
Spread Options as Compound Exchange Options with Applications to American Crack Spreads
PRESENTATION
PAPER

14.30 - 14.55
Michael Dempster, Elena Medova and Ke Tang (Cambridge University)
Long Term Spread Option Valuation and Hedging
PRESENTATION
PAPER

14.55 - 15.20
Gavin Lee Kretzschmar and A. Kirchner (University of Edinburgh)
Commodity Price Shocks and Economic State Variables: Empirical Insights into Asset Valuation and Risk in the Oil and Gas Sector
PRESENTATION
PAPER

15.20 - 15.45
Mats Kjaer (Barclays Capital)
Pricing of Swing Options in a Mean Reverting Model with Jumps
PRESENTATION
PAPER

15.45 - 16.10
Greg N. Gregoriou (State University of New York), Georges Hübner (University of Liège) and Maher Kooli (University of Quebec)
Performance and persistence of Commodity Trading Advisors: Parametric Evidence

Keynote Speakers

16.25 - 16.55
Prof René Carmona (Princeton) and Michael Ludkovski (University of Michigan)
Pricing Asset Scheduling Flexibility using Optimal Switching
PRESENTATION
PAPER

16.55 - 17.30
Dr Chris Harris (RWEnpower)
The Application of Option Techniques in the Risk Capital Cost for Variable Low Load Factor Producers
PRESENTATION
PAPER


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