Home Call for Papers Venue For Presenters Program Keynote Speakers Committee Contact
  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