Thu, 07. Jan. 2010   Rühlicke, Robin

Seminar series "Energy & Finance"

Seminar Series „Energy & Finance“

The seminar series presents current results of high practical relevance from all areas of quantitative Finance. The emphasis is on topics from energy trading, derivatives modelling and risk management. The series facilitates the interchange of ideas between practitioners and academics.

The seminar takes place Wednesdays from 6pm - 8pm in room R12 S05 H20 on the Essen campus of the University of Duisburg-Essen (Directions). In January 2010, the room is changed to R09 S04 B08.

If you have any questions or if you would like to be added to the mailing list of the chair please contact Georg Grüll.

Winter Term 2009/10

Professor Marliese Uhrig-Homburg, Karlsruher Institut für Technologie (KIT)
Institut für Finanzwirtschaft, Banken und Versicherungen (FBV) - Abteilung Financial Engineering und Derivate
Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods abstract (pdf) Slides

Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo

Stochastic volatility modeling in power markets abstract (pdf)Slides

Professor Ales Cerny, Faculty of Finance, Cass Business School, City University London
Performance measurement and mean-variance hedging abstract(pdf) Slides Teil 1 Slides Teil 2

Guido Hirsch, Marktrisiken & Bewertungsmodelle; EnBW Trading GmbH, Karlsruhe
Pricing of Hourly Exercisable Electricity Swing Options Using Different Price Processes abstract Preprint Slides

13.1. 2010
Jörg Kienitz, Head of Quantitative Analysis, Treasury TR OB, Deutsche Postbank AG
Examples for applying Lévy processes to financial problems abstract Slides

Professor Derek W Bunn, London Business School
Modelling the effects of climate policy risk on power investment abstract

Professor Wim Schoutens, Department of Mathematics, Catholic University of Leuven
Levy Processes in Credit Risk - An overview abstract Slides