Conference on the Mathematics of Energy Markets

On 5-7 July 2016, there will be a conference on the mathematics of energy markets organized at the Wolfgang Pauli Institute (WPI) in Vienna, Austria. The conference is an activity within the thematic program "Mathematics for Risk in Finance and Energy" at the WPI. 

We welcome participants from academia and industry to take part in this event.  

A pre-conference intensive course on stochastic modelling of energy markets will be organized on Monday July 4. The course leader will be Professor Fred Espen Benth. Click here to get more information about the intensive course.

Registration: please register your participation on the conference by sending an email to Iben Simonsen (ibens 'at' before June 15. In the email, state your name, affiliation and email address. Registration is now closed.

Note that there is no participation fee. All participants must organize their travel and lodging themselves, and there is no funding available for participating at the conference. 

Peter Laurence Memorial Talks 

  • Archil Gulisashvili (Ohio University, US): Peter Laurence as friend and collaborator
  • Valery Kholodnyi (Verbund, Austria): Extracting forward-looking marked-implied risk-neutral probabilities for the intraday power spots in the unified framework of the non-Markovian approach

Professor Peter Laurence initiated the thematic program at WPI  on the mathematics for energy and commodity finance in 2010. Together with members of the organizing committee, Peter had a firm hand leading the thematic program up to August 2013, when he sadly passed away. Peter was very engaged at the WPI, organizing conferences and workshops, as well as intensive short training courses with a large audience from industry and academia. To honor his great contribution to mathematical finance in general, and the thematic program at WPI in particular, professors Archil Gulisashvili and Valery Kholodnyi will give the Peter Laurence Memorial Talks at the conference. 

Plenary speakers (confirmed)

  • Giorgia Callegaro (Padova University, Italy): Utility indifference pricing and hedging for structured contracts in energy markets
  • Matt Davison (Western University, Ontario Canada): A real options analysis of the relation between ethanol producers and corn and ethanol markets
  • Georg Pflug (University of Vienna, Austria): Pricing of electricity contracts
  • Ehud Ronn (University of Texas at Austin, US): Risk and expected return in the oil-futures market 
  • Thorsten Schmidt (University of Freiburg, Germany): Fundamentals of energy markets
  • Almut Veraart (Imperial College, UK): Ambit stochastics in energy markets

Program available here. List of abstracts can be found here


The conference takes place at the Wolfgang Pauli Institute in Vienna, Lecture room 13. See here for a map of the Wolfgang Pauli Institute. The conference starts on Tuesday July 5 at 08:45 with a welcoming address from the organizers. 


The conference is organized by Rene Aid (EDF), Fred Espen Benth (University of Oslo), Valery Kholodnyi (Verbund) and Almut Veraart (Imperial College and University of Oslo). The conference is co-funded through Almut Veraart's Marie Curie FP7 Integration Grant (within the 7th European Framework Programme).

Published Oct. 16, 2015 03:01 PM - Last modified June 17, 2016 07:34 AM