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Thursday afternoon parallell sessions:
Forward contract in energy commodities (room Plenum 2)
chair: Dipeng Chen
Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
presenter: Niels Strange Hansen
discussant: Enrico Edoli
Historical and risk-neutral estimation in commodity market with a two factor stochastic volatility model
presenter: Gaetano Fileccia
discussant: Pierre Six
Calibration of a multifactor model for the forward markets of several commodities
presenter: Enrico Edoli
discussant: Niels Strange Hansen
Correlation as a pricing factor for oil derivatives
presenter: Pierre Six
discussant: Gaetano Fileccia
Electricity spot prices II (room Leangen gård)
chair: Rafal Weron
Fitting semiparametric Markov regime-switching models to electricity spot prices
presenter: Dennis Tuerk
discussant: Eran Raviv
Forecasting short term electricity prices
presenter: Eran Raviv
discussant: Dennis Tuerk
Dynamic copula models for the spark spread
presenter: Paul C. Kettler
discussant: Paul C. Kettler
Extreme Value Theory and mixed C-vine Copulas on modelling energy price risks
presenter: Karimalis Emmanouil
no discussant
Real options: capacity expansions (room Munkholmen)
chair: Carl Ullrich
A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
presenter: Nicolas Langrené
discussant: Julien Chabas
Generation Capacity Expansion in Electricity Markets under Rivalry and Uncertainty
presenter: Michail Chronopoulos
no discussant
Sequential Investments and Capacity Choice A real options approach
presenter: Michael Drud
discussant: Michail Chronopoulos
Impulse Maximum Principle under Pure State Constraint: An Application to Optimal Capacity Expansion
presenter: Julien Chabas
no discussant