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