Second Conference on the Mathematics of Energy Markets

On 4-6 July 2017, the second conference on the mathematics of energy markets will take place 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 will be organized on Monday July 3. The course leader will be Professor Almut Veraart, who will give a course on Ambit stochastics with applications to commodity markets. See here for more details on the intensive course.

 

Registration: please register your participation on the conference by sending an email to professor Fred Espen Benth (fredb 'at' math.uio.no) before June 15. In the email, state your name, affiliation and email address. State clearly if you want to take part in the intensive course, or only the conference. Registration is now open.

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. 

 

Plenary speakers (confirmed):

  • Ana Busic (INRIA Paris) Title: "Distributed demand control in power grids and ODEs for Markov decision processes"
  • Rudiger Kiesel (University of Duisburg-Essen) Title: "Empirics and analytics for intraday power markets"
  • Delphine Lautier (University of Paris-Dauphine) Title: "Equilibrium relations between the spot and futures markets for commodities: an infinite horizon model"
  • John Moriarty (Queen Mary University, London) Title: "Energy imbalance market call options and the valuation of storage"
  • Nadia Oudjane (EDF Paris) Title: "Advanced numerical methods for nonlinear PDEs and perspectives of applications for energy management control problems"
  • Dylan Possamai (University of Paris-Dauphine) Title: "Volatility demand management for electricity: a moral hazard approach"
  • Tiziano Vargiolu (University of Padova) Title: Capacity markets and the pricing of reliability options

 

Program

Download the conference program here. The full list of talks with abstracts is found here

 

Venue

The conference takes place at the Wolfgang Pauli Institute in Vienna in Lecture Room 13, See here for a map of the Wolfgang Pauli Institute. The conference starts on Tuesday July 4 at 08:45 with a welcoming address from the organizers. 

Organizers

The conference is organized by Rene Aid (Paris-Dauphine), Fred Espen Benth (University of Oslo), Valery Kholodnyi (Verbund Trading) and Almut Veraart (Imperial College and University of Oslo). The conference is co-sponsored by EDF France and FINEWSTOCH, a research project funded by the Norwegian Research Council .

Published Dec. 15, 2016 6:44 AM - Last modified May 31, 2017 11:40 AM