Energy Stochastics and Risk Modelling in Times of Turbulence and Transformation

Conference Program

Conference Program
The conference will feature keynote speakers and contributed talks. Please find detailed information on the presentations in the booklet of abstracts (Conference participants will receive a printed version when registering at the conference).

Keynote Speakers
  • Prof. Ross Baldick, Department of Electrical and Computer Engineering, University of Texas at Austin "The Curious Rise of Wind in Texas"

  • Prof. Stein-Erik Fleten, Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology "Investment Under Uncertainty: Evidence of Real Option Delay Effects in Project-Level Decisions" (joint work with Kristin Linnerud)

  • Prof. Peter Hartley, Department of Economics, Rice University "The Relationship between Oil and Natural Gas Prices in North America: Some Actual and Possible Future Implications of the Shale Gas Revolution"

  • Prof. David Newbery, Director of Electricity Policy Research Group (EPRG), Emeritus Professor of Economics, Faculty of Economics, University of Cambridge "The Challenge of Decarbonising Electricity - the UK Electricity Market Reform"

  • Stefan Judisch, RWE Supply & Trading, Chief Executive Officer "A Glimpse behind the Scene: Long-Term Gas Supply Contracts"

Contributed Talks
Below you can find a list of contributed talks and a detailed time schedule. All concurrent session speakers will have approximately 30 minutes (including discussion - e. g. 25 min talk, 5 min discussion) to present their paper.
Silvia Albrizio and Hélia SilvaPolicy Uncertainty and Investment in Low-Carbon Technology
Stefan AnkirchnerFutures-Cross hedging with a stationary basis
Richard Biegler-KönigAn empirical study of the Information premium on Electricity Markets
Alexander BoogertA Radial Basis Function Approach to Gas Storage Valuation in High Dimensions
Andreas BublitzCoupling Scenario Analysis with Geometric Brownian Motions
Marcus ErikssonSwing options in commodity markets: A model with multidimensional jump diffusions
Markus EwertCompeting Players in future power markets with fluctuating renewables - energy storage, demand side management and power grid
Bastian FelixValuation of Pumped Hydro Storages with respect to the Electricity Spot- and Reserve Power market
Michaela FürschThe costs of electricity systems with a high share of fluctutating renewables - a stochastic investment and dispatch optimization model for Europe
Martin HainUnderstanding Commodity Futures Prices
Eivind HellandStochastic optimisation of ancillary services in a hydro pumped-storage power park
Lars JendernalikImprovement of long-term load-forecast by using a multi-agent-system
Florian KämpferEvaluating the benefits of stochastic optimization for BKW Energie AG
Ulf KasperImpact of Modeling Approaches on Dispatch Optimization of Combined Cycle Power Plants
Stefan KippeltFlexible dimensioning of control reserve by means of a stochastic control model - A future application
Clemens KraußCoal Portfolio Optimization
Nina LangeWhat is causing the uncertainty when investing in foreign commodities: Commodity risk or exchange rate risk?
Christian OhlmsThe good, the bad and the ugly and the energy trading companies
Wilko RohlfsMulti-commodity real options analysis of power plant investments
Ralf SchemmModel for examining investment decisions under uncertainty in power generating technologies
Nicola SecomandiRelaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage
Stefan ThoenesUnderstanding the determinants of electricty prices and the impact of the German Nuclear Moratorium in 2011
Istvan VajdaHow much can be monetized?
Andreas WagnerElectricity Pricing in a Market with Renewables
Time Schedule
Shuttle busses are leaving from "Haus der Technik" to "Villa Hügel". A shuttle will depart around 22.30 from "Jagdhaus Schellenberg" to Essen main station after the conference dinner.