Abstracts
Here are the abstracts for the plenary speakers
Rene Aid
Title: What can we learn from stochastic dynamic investment model for electricity generation?"
Abstract: tba
Mark Cummins
Title: Model risk and model validation in energy markets
Abstract: tba
Andre Damslora
Title: On the choice of model complexity - navigating the range of opportunities
Abstract: When the task is to analyse a complex system, we often tacitly assume that we also need complex models. The goal of this lecture is to share and discuss how much there is to gain - or in fact lose - when deciding on the level of complexity within the analytical framework applied by an analysis department or similar group of human resources. The examples will be from electricity market analysis but can be applied for any setting where modelling is a central vehicle for producing value.
Valery Kholdnyi
Title: Extracting forward-looking market-implied risk-neutral probability distributions for energy spots from energy forwards and options in the unified framework of the non-Markovian approach
Abstract: We present and further develop the non-Markovian approach to modeling energy spot prices with spikes proposed earlier by the author. In contrast to other approaches, we model energy spot prices with spikes as a non-Markovian stochastic process that allows for the modeling of positive and negative energy spot prices as well as upward and downward spikes directly as self-reversing jumps. We show that this approach represents a unified modeling framework applicable across instruments, commodities, regions and time periods. We use this approach to model energy forwards and options and extract the forward-looking market-implied risk-neutral probability distributions for the energy spot prices with trends, cyclical patterns and spikes from the related energy forward and options prices. We consider practically important examples of electricity, natural gas, crude oil and emissions markets.
Here are the abstracts for the contributed talks:
MIchael Kustermann:
Title: Structural models for coupled electricity markets
Abstract: One of the major changes in European electricity markets is - besides the increasing share of renewable infeed - the fact that previously independent market areas have been connected. Day-ahead auctions are no longer done separately and available interconnector capacity are not always auctioned independently from electricity. Instead, interconnector capacity is implicitly auctioned in the Day-ahead auction of electrivcity such that price differences between market areas are minimized, respectively overall wellfare is maximized. The latest cornestone in this evolution of the European electricity market is the so-called North Western European Market Coupling (NWE) which is online since February 4th, 2014. For market participants, such a change in the structure of the market naturally leads to the question of how to model prices in the affected market areas. Particularly, if positions in more than one market exist, it becomes crucial for risk and portfolio management to model electricity prices in all areas consistently in one integrated framework. The model we present extends the class of structural or hybrid models which were introduced by Carmona et al (2013) and Aid et al (2013) to a multi market framework. We derive analytical formulae for the distribution of spot prices, for futures prices and even plain vanilla options.
Salvador Ortiz-Latorre:
Title: Speeding up and slowing down in the risk neutral world. A new flexible pricing measure for mean reverting models.
Abstract: One of the features shared by many models in energy markets is that the spot prices and/or volatilities revert to a mean value. The classical approach for pricing derivatives in these markets, under the risk neutral paradigm, is to use the Girsanov/Esscher transform. However, this approach only allows us to change the level of mean reversion but not the speed of mean reversion. In this talk we introduce a new pricing measure that also give us control on the latter. As an example of application, we discuss the use of this new measure in the pricing of futures on temperature indices.
Published May 23, 2014 12:49 PM
- Last modified Oct. 2, 2014 3:55 PM