April 24, 2014

Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

April 9-10, 2010 Industrial-Academic Forum on Commodities, Energy Markets, and Emissions Trading
at the Fields Institute, 222 College St. Toronto

Organizers: R. Carmona and M. Davison

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This two day workshop will bring together industry practitioners and academics to discuss burning issues in the commodity markets brought to the forefront by the recent economic and financial crises, and the ongoing debate about the role of market mechanisms in the fight against climate change and global warming. We envisage a series of talks by established academic experts and prominent leaders in the industry, followed a session of shorter presentations by young researchers in the area. An important part of the exchanges will take place during two panel discussions bringing together academics and practitioners.

Invited Speakers and Panelists (talk titles and abstracts)

Rene Aid (EDF, Université de Paris 9 Dauphine)
Alvaro Cartea (Universidad Carlos III & Madrid)
Michael Coulon (Princeton)
Gilles Edouard Espinosa (Ecole Polytechnique)
Alex Eydeland
(Morgan Stanley)
Max Fehr (London School of Economics)
Helyette Geman (Birbeck and ESCP Europ)
Georg Gruell (Duisburg-Essen)
Sebastian Jaimungal (University of Toronto)
Walid Mnif (Western Ontario)
Ehud Ronn (Morgan Stanley & Co.)
Glen Swindle (Credit Suisse in New York)
Marliese Uhrig-Homburg (Universität Karlsruhe)

Tentative Forum Schedule

Friday April 9
8:50 - 9:00 am Welcome and Introduction
Workshop Organizers and Fields Deputy Director Juris Steprans
9:00 - 10:00 Alex Eydeland (Morgan Stanley)
Commodity Modeling: View from the trenches
10:00 - 10:30 Coffee Break
10:30 - 11:10 Alvaro Cartea (Universidad Carlos III & Madrid)
Mean reversion, measure changes and stochastic risk premia in commodity markets
11:15 - 11:55 Ehud Ronn (Morgan Stanley & Co.)
The Valuation and Information Content of Options on Crude-Oil Futures Contracts
12:00 - 1:30 pm Lunch Break
1:30 - 1:50 Gilles Edouard Espinosa (Ecole Polytechnique)
A model of emissions and the price of carbon (joint with R. Carmona and N. Touzi)
1:55 - 2:15 Georg Gruell (Duisburg-Essen)
Pricing CO2 permits using approximation approaches
2:20 - 2:40 Walid Mnif (Western Ontario)
Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market
2:40 - 3:00 Coffee Break
3:00 - 3:40 Helyette Geman (Birbeck and ESCP Europ)
Inventory, Commodity Forward Curve and Spot price Volatility: The case of Crude Oil and Natural Gas
3:45 - 4:25 Sebastian Jaimungal (University of Toronto)
A New Approach to Commodity Market Models
4:30 - 5:30 Reception - cash bar
Fields Atrium
Saturday April 10 - REVISED
8:45 - 9:30 am Max Fehr (London School of Economics)
Option Pricing in the European Unions Emission Trading Scheme
9:30 - 10:15 Marliese Uhrig-Homburg (Universität Karlsruhe)
Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods
10:15 - 11:00 Michael Coulon (Princeton)
The Electricity Bid Stack: Linking the dynamics of fuel, power and carbon prices
11:00 - 11:15 Coffee Break
11:15 - 12:30 Industry Panel
Rene Aid (European Energy Producer EDF)
Elisabeth DeMarco (Macleod Dixon LLP)
Prof Helyette Geman (Birbeck College, University of London)
Dr Glen Swindle (Credit Suisse First Boston)

Confirmed Participants

Full Name University/Affiliation
Aid, René University of Paris 9 Dauphine
Andrushchenko, Michael Ernst & Young LLP
Assa, Hirbod Université de Montréal
Calderón, Jesús Bank of Nova Scotia
Carmona, Rene Princeton University
Cartea, Álvaro Universidad Carlos III de Madrid
Chong, Yuxiang University of Toronto
Chuah, Bryon University of Waterloo
Coulon, Michael Princeton University
Davison, Matt University of Western Ontario
DeMarco, Elisabeth Macleod Dixon LLP
El Karoui, Nicole Ecole Polytechnique
Espinosa, Gilles-Edouard Ecole Polytechnique
Eydeland, Alex Morgan Stanley
Fahim, Arash Ecole Polytechnique
Fehr, Max London School of Economics
Geman, Helyette Birkbeck, Univ of London & ESCP Europe Member of the UBS Bloomberg Commodity Index
Grasselli, Matheus McMaster University
Grüll, Georg Universität Duisburg-Essen
Guo, Weiwei University of Toronto
Hurd, Tom McMaster University
Hyndman, Cody Concordia University
Jaimungal, Sebastian University of Toronto
Khaja, Mezan Scotiabank
Kirby, Natasha University of Western Ontario
Kobari, Laleh University of Toronto
Marshall, James University of Western Ontario
Mnif, Walid University of Western Ontario
Moukoukou, Arsene Garp, Praza
Naot, Gad Royal Bank of Canada
Olivares, Pablo Ryerson University
Peng, Xianhua Columbia University
Ronn, Ehud Morgan Stanley & Co.
Sahota, Davender University of Illinois at Chicago
Salisbury, Thomas York University
Silla, Sebastiano Polytechnic University of Marche
Swindle, Glenn Credit Suisse First Boston
Taylor, John-Paul Ryerson University
Uhrig-Homburg, Marliese Universität Karlsruhe (TH)


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