Stochastics and Risk for the Energy Markets
The two-day workshop on "Stochastics and Risk for Energy Markets" will consist of an intensive course on energy markets provided by Professor Rudiger Kiesel from University of Essen-Duisburg, as well as several invited talks. The workshop aims at bringing together practitioners from the energy and finance industry with researchers from academia.
Fundamental Challenges in the European Electricity Markets
Intensive course by Professor Ruediger Kiesel, University of Duisburg-Essen
- Intraday power market
- Impact of rising share of renewable energies
- Integrated European energy markets
- Carbon market
- Rene Aid, EDF R&D, France.
Title of talk: What can we learn from stochastic dynamic investment model for electricity generation?"
- Mark Cummins, Dublin City University, Ireland
Title of talk: Model Risk and Model Validation in Energy Markets
- Andre Damslora, Statkraft, Norway
Title of talk: On the choice of model complexity - navigating the range of opportunities
- Valery Kholodnyi, Verbund Trading, Austria
Title of talk: Extracting forward-looking market-implied risk-neutral probability distributions for energy spots from energy forwards and options in the unified framework of the non-Markovian approach
- Michael Kustermann, University of Duisburg-Essen, Germany
Title of talk: Structural models for coupled electricity markets
- Salvador Ortiz-Latorre, University of Oslo, Norway
Title of talk: Speeding up and slowing down in the risk neutral world. A new flexible pricing measure for mean reverting models.
There is a limited number of places, and registration is mandatory to attend the lectures and talks. Please use the online registration found on the left-hand menu. There is no participation free.
This two-day workshop is sponsored by the projects "Managing Weather Risk in Electricity Markets" and "Energy Markets: Modelling, Optimization and Simulation", both funded by the Norwegian Research Council (under the Energix program) and "Stochastics for Environmental and Financial Economics", a Center of Advanced Studies (CAS) at the Academy of Sciences and Letters.