Energy Finance Conference 2015
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1 The Costas Grammenos Centre for Shipping, Trade and Finance Energy Finance Conference 2015 Wednesday, 9 September 15:30 16:30 Registration 16:30 17:00 Welcome and Introduction 17:00 18:00 Keynote Speech: Richard Tol 18:00 19:30 Welcome reception, The Kitchen Restaurant, 3rd Floor Cass Business School Thursday, 10 September 09:00 10:30 Parallel Session 1 10:30 11:00 Coffee Break 11:00 12:00 Keynote Speech: Sean Kidney 12:00 13:30 Lunch Break 13:30 15:00 Parallel Session 2 15:00 15:30 Coffee Break 15:30 17:00 Parallel Session 3 17:00 18:00 Keynote Speech: Stavroula Betsakou 19:00 22:00 Dinner at Ironmonger's Hall Friday, 11 September 09:00 10:30 Parallel Session 4 10:30 11:00 Coffee Break 11:00 12:00 Keynote Speech: Paul Bedford 12:00 13:30 Lunch Break 13:30 15:00 Parallel Session 5 15:00 15:30 Coffee Break 15:30 17:00 Parallel Session 6 17:00 18:00 Keynote Speech: Chitro Majumdar 18:00 18:30 Closing remarks of the Energy Finance 2015 Conference
2 The Costas Grammenos Centre for Shipping, Trade and Finance Thursday 10 September 09:00 10:30 Parallel Session 1 Chair: Andrea Roncoroni Commodity Price, Comovements and Volatility Dynamics Energy commodities prices: new challenges for risk managers Intertemporal Efficiency of European Power Derivatives Markets Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures Correlation as a Pricing Factor for Oil Derivatives Oil Price Volatility Forecast with Mixture Memory GARCH Rita D'Ecclesia Universita' La Sapienza and Birkbeck University Juan Ignacio Peña Universidad Carlos III Faek Menla Ali Brunel University London Pierre Six Neoma Business School Tony Klein Technische Universität Dresden Chair: Marcel Prokopczuk Predictability in Electricity Forward Returns and its Use in Value at Risk Forecasts Electricity Price Modelling Using Supply Demand Curves Electricity price models comparison for spread options Social Media Sentiment in the EU Emissions Trading Scheme Electricity pricing and risk management Joerg Laitenberger University of Halle Florian Ziel Viadrina European University Alasseur Clemence EDF R&D, FIME Peter Deeney Dublin City University Business School
3 Room LG001 Chair: Florentina Paraschiv Cointegrating Jumps: an Application to Energy Facilities Optimization of Hydro Storage Systems and Indifference pricing of power contracts Pro Competitive Rationing in Multi Unit Auctions Listed Infrastructure Equity Investments: Simplistic Heuristic or New Beta? Energy derivatives and portfolio optimisation Piergiacomo Sabino E.ON Global Commodities SE Michael Schürle University of St. Gallen Par Holmberg Research Institute of Industrial Economics (IFN) Simon Wilde University of Bath and Macquarie Capital 13:30 15:00 Parallel Session 2 Chair: Rafal Weron A Fully Parametric Approach for Solving Quantile Regressions with time varying coefficients. Application to electricity prices Modelling the Impact of Wind Power Production on Electricity Prices by Regime Switching Levy Semistationary Processes Structural Vector Autoregressive Model with Conditional Heteroscedasticity application to the UK electricity market Econometric Analysis of Quarter Hourly Intraday Electricity Prices Statistical analysis of commodity markets Florentina Paraschiv University of St. Gallen Almut Veraart Imperial College London Katarzyna Maciejowska Wroclaw University of Technology Ruediger Kiesel University Duisburg Essen Chair: Nikos Papapostolou Maritime Transportation of Energy Shipping Market Update The Dynamic Relationship between Tanker Freight Rates and Crude Oil Production: Evidence from Causality Analysis Correlation of Piracy Attacks with Oil Prices Transportation and risk management for shipping in energy markets Maria Bertzeletou Golden Destiny Philipp Lauenstein HSBA Hamburg School of Business Administration Nicholas Berketis J.Kouroutis & Co. Ltd. Insurance and Reinsurance Brokers
4 Room LG001 Chair: Emmanouil Karimalis NER 300 Programme Funding for Innovative Renewable Energy Technologies and Safe Carbon Capture and Storage on a Commercial Scale A Robust Power Market in Making : A Fresh Approach by New Government in India Pollutant Abatement Investment under Ambiguity in a Two Period Model What Are Retail Investors Risk and Return Preferences toward Renewable Energy Energy policy and renewable projects financing Maria Lourdes Salto Saura European Commission, Joint Research Centre, Institute for Energy and Transport Vikas Prakash Great Lakes Institute of Management Motoh Tsujimura Doshisha University Sarah Salm University of St.Gallen 15:30 17:00 Parallel Session 3 Chair: Michael Schürle Shale Revolution in the Golden Age of Gas Emission Certificates and an Energy Mix Problem Financial Performance of Indian Energy Companies Energy geopolitics and market developments Andrew Leung International Consultants, Hong Kong SAR Loretta Mastroeni University of Roma Tre and Paolo Falbo University of Brescia Anindita Chakrabarti International Management Institute, New Deli Chair: Ruediger Kiesel Pricing Options on Forwards in Energy Markets: The Role of Mean Reversion s Speed On the General Structure of Arbitrage Pricing Models for Commodity Prices The Market Stability Reserve in the EU ETS: Stochastic Equilibrium Modelling and Policy Optimization Modelling the UK Electricity Price Distributions using Quantile Regression Energy pricing and derivatives Maren Schmeck University of Cologne Andrea Roncoroni ESSEC Business School Sascha Kollenberg University of Duisburg Essen Lars Ivar Hagfors Norwegian University of Science and Technology
5 09:00 10:30 Parallel Session 4 Chair: Alvaro Cartea Commodity Markets, Long Horizon Predictability and Intertemporal Pricing Friday 11 September Portfolio allocation and optimisation in commodities Ana Maria Fuertes Cass Business School The Costas Grammenos Centre for Shipping, Trade and Finance Noncausality and the Commodity Currency Hypothesis Do Hedgers Speculate? Evidence from Energy Futures Markets using Mixed Frequency Data Analyzing the Causal Interactions between Sectoral Equity Returns and Commodity Future Returns Aftermath the Global Financial Crisis: The Case of the United States and the European Equity Markets Henri Nyberg University of Helsinki Yannick Le Pen Universite Paris Dauphine Gazi Salah Uddin Linköping University Chair: Pascal Heider Electricity pricing and risk management Risk Adjusted Pricing of Energy Quanto Structures Pascal Heider E.ON Global Commodities Structural Estimation of Switching Costs for Peak Power Plants Probabilistic Forecasting of Medium Term Electricity Demand: A Comparison of Time Series Models Volumetric Risk Associated with Wind Power Trading: A Copula Approach Stein Erik Fleten Norwegian University of Science and Technology Kevin Berk University of Siegen Anca Pircalabu Aalborg University and Neas Energy Room LG001 Chair: Michael Coulon Financial Incentives for Grid Efficient Wind Farms SMART SREC: A stochastic Model of the New Jersey Solar Renewable Energy Certificate Market Cross Border Investment Flows in Energy Projects: Is There a Case of Inverse Home Country Bias? Evidence from Switzerland Real Options and Emerging Energy Trends Energy policy and renewable projects financing Celine McInerney University College Cork Michael Coulon University of Sussex Yuliya Karneyeva University of St.Gallen Véronique Blum University Grenoble Alpes
6 13:30 15:00 Parallel Session 5 Chair: Ana Maria Fuertes Price variability in energy markets A Financialization Model of Crude Oil Markets Going Hybrid: A Joint Model for Temperature and Natural Gas The Volatily of Natural Gas Prices in European Markets: Potential Drivers and Spillover Effects Chair: Ioannis Kyriakou Pricing and Hedging Multi Asset Spread Options using a Three Dimensional Fourier Cosine Series Expansion Method Using Equity, Index and Commodity Options to Obtain Forward Looking Betas and Conditional CAPM Expected Crude Oil Spot Prices Arbitrage free Shifting of Price Forward Curves An Efficient and Generic Algorithm The Ethanol Refiner's Short Term Hedging Challeng Takashi Kanamura Kyoto University Roberto Baviera Politecnico di Milano Marianna Russo Cass Business School Portfolio optimisation and commodity derivatives pricing Tommaso Pellegrino Gazprom Marketing & Trading Limited Ehud I. Ronn University of Texas at Austin Richard Biegler König Steag GmbH Simon Spencer University College Dublin Room LG001 Chair: Nina Lange Integration in Gasoline and Ethanol Markets in Brazil over Time and Space under the Flexfuel Technology Equilibrium Exchange Rates in the Persian Gulf Oil Exporting Countries Joint modeling of oil prices and FX rate The Changing Returns to Crime: Do Criminals Respond to Prices? Market Integration Jesus Otero Universidad del Rosario Mahdi Heravi University of Glasgow Nina Lange Copenhagen Business School Theodore Koutmeridis University of Glasgow
7 15:30 17:00 Parallel Session 6 Chair: Nikos Nomikos Computing Probabilistic Forecasts of Electricity Loads and Prices Using Quantile Regression and Forecast Averaging Bayesian Analysis of Jumps in Returns on CO2 Allowance Futures Prices and Gas Forwards Prices Statistical analysis of commodity markets II Rafal Weron Wroclaw University of Technology Maciej Kostrzewski Cracow University of Economics Time Series Modelling of Electricity Prices: A Quasi Meta Analysis on Empirical Studies Electricity Price Density Forecasting Thomas Paulsen University of Braunschweig Jakub Nowotarski Wroclaw University of Technology Chair: Marianna Russo Model Uncertainty in Commodity Models Simulation of Commodity Futures price under co integration Insider trading in oil markets Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas Trading mechanisms in electricity and other energy markets II Sebastian Jaimungal University of Toronto Rakotondratsimba Yves ECE Paris Graduate School of Engineering Benoit Sevi Universite Grenoble Alpes Reinhard Madlener RWTH Aachen University
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