|
THEMATIC PROGRAMS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 23, 2024 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010April
9-10, 2010 Industrial-Academic Forum on Commodities, Energy Markets,
and Emissions Trading
|
Friday April 9 | |
8:50 - 9:00 am | Welcome and Introduction Workshop Organizers and Fields Deputy Director Juris Steprans |
9:00 - 10:00 | Alex Eydeland (Morgan Stanley) Commodity Modeling: View from the trenches |
10:00 - 10:30 | Coffee Break |
10:30 - 11:10 | Alvaro Cartea (Universidad Carlos III & Madrid) Mean reversion, measure changes and stochastic risk premia in commodity markets |
11:15 - 11:55 | Ehud Ronn (Morgan Stanley & Co.) The Valuation and Information Content of Options on Crude-Oil Futures Contracts |
12:00 - 1:30 pm | Lunch Break |
1:30 - 1:50 | Gilles Edouard Espinosa (Ecole Polytechnique) A model of emissions and the price of carbon (joint with R. Carmona and N. Touzi) |
1:55 - 2:15 | Georg Gruell (Duisburg-Essen) Pricing CO2 permits using approximation approaches |
2:20 - 2:40 | Walid Mnif (Western Ontario) Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market |
2:40 - 3:00 | Coffee Break |
3:00 - 3:40 | Helyette Geman (Birbeck and ESCP Europ) Inventory, Commodity Forward Curve and Spot price Volatility: The case of Crude Oil and Natural Gas |
3:45 - 4:25 | Sebastian Jaimungal (University of Toronto) A New Approach to Commodity Market Models |
4:30 - 5:30 | Reception - cash bar Fields Atrium |
Saturday April 10 - REVISED | |
8:45 - 9:30 am | Max Fehr (London School of Economics) Option Pricing in the European Unions Emission Trading Scheme |
9:30 - 10:15 | Marliese Uhrig-Homburg (Universität Karlsruhe) Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods |
10:15 - 11:00 | Michael Coulon (Princeton) The Electricity Bid Stack: Linking the dynamics of fuel, power and carbon prices |
11:00 - 11:15 | Coffee Break |
11:15 - 12:30 | Industry Panel Rene Aid (European Energy Producer EDF) Elisabeth DeMarco (Macleod Dixon LLP) Prof Helyette Geman (Birbeck College, University of London) Dr Glen Swindle (Credit Suisse First Boston) |
Full Name | University/Affiliation |
Aid, René | University of Paris 9 Dauphine |
Andrushchenko, Michael | Ernst & Young LLP |
Assa, Hirbod | Université de Montréal |
Calderón, Jesús | Bank of Nova Scotia |
Carmona, Rene | Princeton University |
Cartea, Álvaro | Universidad Carlos III de Madrid |
Chong, Yuxiang | University of Toronto |
Chuah, Bryon | University of Waterloo |
Coulon, Michael | Princeton University |
Davison, Matt | University of Western Ontario |
DeMarco, Elisabeth | Macleod Dixon LLP |
El Karoui, Nicole | Ecole Polytechnique |
Espinosa, Gilles-Edouard | Ecole Polytechnique |
Eydeland, Alex | Morgan Stanley |
Fahim, Arash | Ecole Polytechnique |
Fehr, Max | London School of Economics |
Geman, Helyette | Birkbeck, Univ of London & ESCP Europe Member of the UBS Bloomberg Commodity Index |
Grasselli, Matheus | McMaster University |
Grüll, Georg | Universität Duisburg-Essen |
Guo, Weiwei | University of Toronto |
Hurd, Tom | McMaster University |
Hyndman, Cody | Concordia University |
Jaimungal, Sebastian | University of Toronto |
Khaja, Mezan | Scotiabank |
Kirby, Natasha | University of Western Ontario |
Kobari, Laleh | University of Toronto |
Marshall, James | University of Western Ontario |
Mnif, Walid | University of Western Ontario |
Moukoukou, Arsene | Garp, Praza |
Naot, Gad | Royal Bank of Canada |
Olivares, Pablo | Ryerson University |
Peng, Xianhua | Columbia University |
Ronn, Ehud | Morgan Stanley & Co. |
Sahota, Davender | University of Illinois at Chicago |
Salisbury, Thomas | York University |
Silla, Sebastiano | Polytechnic University of Marche |
Swindle, Glenn | Credit Suisse First Boston |
Taylor, John-Paul | Ryerson University |
Uhrig-Homburg, Marliese | Universität Karlsruhe (TH) |