Contributed Talks: Slides & Papers

1

Reinhard Madlener

Cost evaluation of credit risk securitization in the electricity industry: credit default acceptance vs. margining costs

2

Stelios Kourouvakalis

A lattice-based method for valuing swing option contracts under the Threshold model

Slides

3

Bernd Tersteegen

Investigations on Factors Influencing the Operational Benefit of Stochastic Optimization in Generation and Trading Planning

Slides

4

Sjur  Westgaard

Covariance estimation using high-frequency data: An Analysis of Nord Pool electricity forward data

Slides

5

Dogan Keles

A comparison of extended electricity price models considering the impact of wind energy feed-in

Slides

6

Svetlana Borovkova

Asian basket options and implied correlations

Slides

7

Nina Lange

Seasonality in energy prices: From a term structure model to an affine model

8

Joachim Gahungu

Sufficient and necessary conditions for perpetual multi-assets exchange options

Slides

9

Frowin Schulz

Explaining Time-Varying Risk of Electricity Forwards: Trading Activity and News Announcements

Paper

10

Johannes Müller

On Clearing Coupled Day-Ahead Electricity Markets

Slides
Paper

11

Gauthier de Maere d'Aertrycke

Liquidity Risks on Power Exchanges

Slides

12

Jukka Lempa

On Optimal Exercise Of Swing Options In Electricity Markets

Slides

13

Brenda López Cabrera

Localizing temperature risk

14

Peter Schuetterle

Valuation of VPP contracts under a lognormal swap market model

Slides

15

Christian Redl

Components of the Forward Market Premium in Electricity

Slides

16

Daniel Schwarz

Risk-Neutral Pricing of Financial Instruments in Emission Markets - A Hybrid Approach

Slides

17

Almut Veraart

Modelling electricity forward markets by ambit fields

Paper

18

Carlos Pinho

CO2 spot and futures price analysis for EEX and ECX

19

Tobias Federico

Interaction of spot and future prices for electricity

Slides

20

Mara Madaleno

Hedging with CO2 allowances: the ECX market

Slides

21

Richard Biegler-König

The Information Premium in Electricity Markets

Slides

22

Stefan Giebel

Stochastic estimation of energy resources and prices via neural network adapted stable processes

23

Arne  Andresen

A Spot Price Model with Short-, Medium- and Long-Term Components

Slides

24

Takashi Kanamura

Convenience Yield-Based Pricing of Commodity Futures

Slides

25

Stefan Schneider

Power spot price models with negative prices

Slides

26

Alexander Boogert

Gas storage valuation using a multi-factor price process

Slides

27

Linda Vos

Modeling electricity prices: spots, forwards and the risk premium

Slides

28

Dmitry Lesnik

Storage option: an Analytic approach

Slides

29

Carlo Lucheroni

A SETARX model for spikes and antispikes in electricity markets

Slides

30

Volker Termath

Hedging and Optimizing Gas Storage from a Trader’s Perspective

Slides