Pre-conference intensive course
On Monday July 3, 2017, professor Almut Veraart will give an intensive course on ambit stochastics with applications to commodity markets. The course will take place at the Wolfgang Pauli Institute, Vienna.
Professor Almut Veraart, Imperial College, London
Ambit stochastics is a new area of mathematical research tailored to modelling spatio-temporal phenomena in a wide range of applications. This minitutorial gives an introduction to this new field and discusses applications in financial mathematics. In particular, we are going to study how ambit fields and processes can be used to model energy spot and forward prices, and approaches to model estimation and derivative pricing within the ambit framework will be presented.
In addition, we will also discuss how renewable sources of energy such as wind or solar can be incorporated in energy prices models based on ambit fields.
10:00 - 10:50 Lecture 1
10:50 -11:10 Coffee break
11:10 - 12:00 Lecture 2
12:00 -14:00 Lunch break
14:00-14:50 Lecture 3
14:50-15:10 Coffee break
15:10-16:00 Lecture 4
This intensive course is open to all registered participants. It will take place in Lecture Room 13 at the Wolfgang Pauli Institute.