The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Maren Diane Schmeck (Bielefeld University)
Title: From calendar time to business time: the case of commodity markets
Abstract: We address the problem of modelling commodity forward curves, while preserving empirical features observed in commodity markets. By letting a commodity market to ”live” in the tempo of a business rather than calendar clock, we create a model with a rich but realistic set of features, such as stochastic volatility, stochastic rate of mean reversion and various shapes of forward curves such as backwardation and contango.
The model, when applied to extensive historical datasets of crude oil and natural gas forward curves, shows a remarkably good fit to the observed futures prices, also in periods of high volatility and negative prices.
The model is developed in such a way that it can be used for a wide variety of applications, ranging from exotic derivatives pricing to risk management of commodity portfolios.
(joint work with Sergiy Ladokhin and Svetlana Borovkova (both Free University Amsterdam))
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.