Workshops
Workshop on Commodities
May 5, 2011
Location: EM Lyon |
May 5, 2011
08:45 – 09:15: Coffee, welcome and Opening Address
Philippe MONIN, EM Lyon
09:15 – 10:00: An empirical assessment on systemic risk in derivative marketsDelphine LAUTIER, University of Paris Dauphine Paper - Slides
10:00 – 10:45: Mathematical Modelling in times of crisis: In search of new paradigms Alex LANGNAU, Allianz Investment Management, Munich Slides
10:45 – 11:00: Coffee Break
11:00 – 11:45: Static hedging of commodity volumetric risk: analytical results Andrea RONCORONI, ESSEC, Paris Slides
11:00 – 11:45: Statkraft's Nordic market operations Erik TJØTTA, Statkraft, Oslo Slides
12:30 - 14:00: Lunch
14:45 – 15:30: Numerical methods for commodity spread options
Iain CLARK, Standard Bank, London Slides
15:30 - 15:45: Coffee break
15:45 – 16:30: Seasonality in energy prices: direct and hidden seasonality and the effect on option pricing
Nina LANGE, Copenhagen Business School Paper- Slides
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