Intensive course by Professor Thilo Meyer-Brandis
This year's annual MAWREM intensive course will be on two topics: systemic risk measures and information in energy markets. The intensive course will be over two half-days, and led by Professor Thilo Meyer Brandis from the Ludwig-Maximillian University of Munich, Germany.
Lectures start on Monday 26 October at 12.15, and end at 15.00. On Tuesday 27 October the lectures start at 9.00, and end at 11.45. Each day will consist of 3 lecture hours.
The lectures take place in the seminar room on the 12th floor of Nils Henrik Abels hus. Nils Henrik Abels hus is located at the center square of Blindern University Campus. Follow the maps found at the entrances of Blindern Campus.
Abstract of lectures
The lectures will be divided into two parts. In the first part of the lecture we will address the problem of how to include forward looking information in the pricing and hedging of non-storable commodities. For a liquidly traded asset, the typical assumption in reduced form models is that all available information on the asset is contained in the past price evolution (represented by the filtration generated by the asset price). For non-storable underlyings like electricity or temperature, this assumption is not acceptable anymore. In this lecture we will present a class of factor models for pricing and hedging temperature derivatives that includes the forward looking information of meteorological temperature forecasts available to the market. We will first lay the theoretical grounds for those factor models which are consistent with the martingale dynamics of temperature forecasts, before we present a statistical analysis of forecast curve data together with the implementation of a specific consistent two-factor model.
In the second part of the lecture we will focus on the measurement and management of systemic risk in financial networks. The financial crisis has dramatically demonstrated that the traditional approach to risk management does not capture sufficiently the systemic risk caused by the interdependencies and corresponding contagion effects across the system entities. In this lecture we will present some recent methodological advances in Financial Mathematics to rectify this deficiency. This will include the specification of network models that, when exposed to an initial shock, explicitly track further losses generated via various contagion channels, the introduction and structural characterization of systemic risk measures, and some results on the resilience of networks to initial shocks based on the asymptotic analysis of contagion effects in large scale random graphs.
Please register to this event by sending an email to Fred Espen Benth (fredb "at" math.uio.no) by October 1. Registration is free of charge, but mandatory due to a limited number of spaces.