I would like to let you know that I will be conducting the following two-day Minicourse on my non-Markovian approach to modelling energy markets at the Wolfgang Pauli Institute in Vienna, Austria:

 

Title: Advanced Modeling of the Energy Spots, Forwards, Swaps and Options in the Unified Framework of the Non-Markovian Approach

 

Speaker: Valery A. Kholodnyi

 

Abstract: We present and further develop a new approach to modeling energy spot prices with spikes proposed earlier by the author. In contrast to other approaches, we model energy spot prices with spikes as a non-Markovian stochastic process that allows for modeling spikes directly as self-reversing jumps. We show how this approach can be used to model energy forwards and swaps as well as to price and hedge energy derivatives for energy spot prices with spikes. We also discuss the applications of this approach to modeling oil, natural gas, power and carbon markets.

 

When:   Monday and Tuesday, 10:00 a.m. - 5:00 p.m., October 24 and 25, 2011

Where:  Room C14, Wolfgang Pauli Institute, Vienna, Austria.

 

Additional information about the Minicourse can be found at: http://www.wpi.ac.at/theme_view.php?id_theme=68.

 

This Minicourse is a part of the Thematic Program “Financial Engineering for Energy Asset Management and Hedging in Commodity Markets” that I am co-organizing with F. Benth (University of Oslo), P. Laurence (University of Rome and NYU) and W. Schachermayer (University of Vienna)  at the Wolfgang Pauli Institute in Vienna, Austria.

 

The main goal of the Thematic Program is to provide a forum that brings together a wide spectrum of professionals in the areas of the modelling and risk analysis of commodity markets, in general, and energy markets, in particular, ranging from academic researchers to industry practitioners worldwide.

 

For your convenience, please find below the link to the website of the Thematic Program: http://www.wpi.ac.at/themes.php.

 

You are cordially invited to sign up for the upcoming events and activities of the Thematic Program including the Minicourses and Conferences that might be of interest to you.

 

Please kindly let me know if you might have questions or would like additional information about the Thematic Program.

 

Sincerely,

Valery Kholodnyi

Pauli Fellow and Co-Organizer

Thematic Program on Energy Finance

The Wolfgang Pauli Institute

Vienna, Austria