8.30-9.00: Registration & Coffee
9.00-9.10: The chairman, Helyette Geman opens the conference
9.10-10.00: Valuation, Hedging and Optimal Scheduling of Hydro Power: From Classical to New Approaches
Guido Hirsch, Risk Controller, EnBW Trading
10.00-10.30: Networking
10.30-11.20: Structured and Equity Risks In Commodity Markets
Krzysztof Wolyniec, Managing Director of Front Office Quant group, RBS Sempra Commodities
11.20-12.10: Storage valuation: the performance of trading strategies
12.10-13.10: Lunch
13.10-14.00: Crude vs. oil products correlations and trading of these
Ioannis Emiris, Senior Trader, EDF Trading
14.00-14.50: Modelling the Electricity Futures Market
We discuss various approaches to model electricity futures and options on these futures. In particular, we provide a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and applies it to the electricity market. We will especially take care of the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to electricity futures and options on futures are priced.
Rüdiger Kiesel, Professor, University of Ulm
14.50-15.10: Networking
15.10-16.00: Ten questions to ask of a storage model
At the very least, a storage model should provide an estimate of the expected value of operating a storage facility. But how do you achieve that value in practice? If you know how to phrase the questions, a storage model can provide a lot more value than just the single number representing expected profit.
Tristram Scott, Quantitative Energy Models
16.00-19.00: Networking & Walking tour of Rome
19.00: Conference dinner
9.00-9.50: A green future - Implications of large-scale wind power
Rouven Lüscher, Head of the Quantitative Analysis group, Nuon
9.50-10.40: Model Risk and energy assets management
Olivier Bardou, Project Manager, GDF Suez
10.40-11.10: Networking
11.10-12.00: Metals and Energy Prices: Back to Fundamentals
Hélyette Geman, Director, Finance Commodity Centre, Birkbeck, University of London & ESCP- EAP
12.00-13.00: Lunch
13:00-13.50: Generation Assets Valuation: The practical experience of Iberdrola
Julián Calvo, Middle Office, BackOffice & Trading IT Systems Vice President, Iberdrola
13.50-14.40: Co- integration of energy commodity prices (electricity, natural gas, crude oil): Comparing the US and European situations
Rita L. D'Ecclesia, Professor of Applied Mathematics, University of Rome/ Birkbeck College, University of London
14.40-15.10: Networking
15.10-16.00: The increasing uncertainty of prices and ressource availability in the energy industry implies that for the valuation of flexible assets such as gas storages models based on real option approaches are used. When the asset valuation needs to consider path-dependency of the operational decision process, the valuation should be based on scenario tree approaches. In this presentation a scenario tree based approach for the valuation of gas storage is introduced. Exemplary results of the valuation including sensitivity analyses with respect to market price volatility and market liquidity are presented.
Georg Ostermaier, Decision Trees GmBH
16.00-16.15: Closing of the conference