June 14, 2024

Focus Program on Commodities, Energy and Environmental Finance
August 6- 30, 2013

Hosted by the Fields Institute, 222 College St., Toronto (map)

Organizing Committee
René Aïd (Electricité de France), René Carmona (Princeton),
Matt Davison (Western Ontario), Ivar Ekeland (Paris-Dauphine)
Mike Ludkovski (UC, Santa Barbara), Ronnie Sircar (Princeton)
The central objective of the program is to gather researchers in stochastic analysis, mathematical finance, financial economics, and insurance mathematics to exchange ideas on the current state-of-the-art in commodities and environmental finance, and forge new directions of research. This will be accomplished by three 5-lecture Short Courses given by leading researchers, as well as two Research Workshops in the theme of the program. Stochastic optimal control, stochastic differential games, dynamic risk transfer and backward stochastic differential equations are the main probabilistic foundations of financial mathematics that will be the focus of the program.
Click photo for larger image  


Summer School: August 6-27, 2013
The mini-courses will each consist of 5 lectures.
Mini-Course on Valuing and Trading Correlation Structures in Commodities
Speaker: Glen Swindle, Scoville Risk Partners
Lectures 1-3 August 6, Tuesday - August 8, Thursday
10:00 -11:00 a.m. (slide 1, slide 2, slide 3, slide 4)
Lectures 4-5 August 12, Monday-August 13, Tuesday
10:00 - 11:00 a.m.
Mini-Course on Stochastic Models of Electricity Markets
Speaker: Fred Benth, University of Oslo
Lecture 1-5 August 19, Monday - August 23, Friday
11:00-12:30 p.m. (slide 1, slide 2, slide 3, slide 4, slide 5)
Mini-Course on Financialization of the Commodity Markets and Mean Field Games
Speaker: René Carmona, Princeton University
Lectures 1-2 August 12, Monday- August 13, Tuesday
1:00-2:00 p.m. (slides)
Lectures 3 August 26, Monday
1:00-2:00 p.m. (slides)
Lectures 4-5 August 27, Tuesday
9:00-11:00 a.m.

The three mini-courses will be spread over 4 weeks with each day having 1 or 2 hours of lectures (1 hour in the morning, 1 hour in the afternoon) and additional planned activities daily including guest lecturers. Some background in probability and stochastic processes are expected.

Program Visitor Seminar

Program Working Seminar

August 14-16, 2013 (Wed-Fri)
Workshop on Electricity, Energy and Commodities Risk Management

Organizing Committee: René Aïd, Matt Davison, Ivar Ekeland, Mike Ludkovski

The workshop will address the recent developments in the mathematics and the practical management of risk emanating from recent trends in the electricity and energy markets, as well as financial tools to climate change mitigation and risk transfer. Many problems arising from the analysis of commodities and energy markets, demand the development of new mathematical tools. Some of the ongoing issues include incorporation of renewable energy production into the conventional power grid, complex correlations in electricity prices due to the multiple fuels used and impact of carbon allowances or taxes on electricity markets. These lead to challenges at the intersection of stochastic control, stochastic analysis, as well as computational methods. A goal of the workshop will be to foster interactions between academia and industry.

August 27-29, 2013 (Tues-Thurs)
Workshop on Stochastic Games, Equilibrium, and Applications to Energy & Commodities Markets

Organizing Committee: René Carmona, Ronnie Sircar

The workshop will address the recent developments in stochastic games in the context of commodity markets. Relevant challenges include understanding of the oligopolistic and game theoretic effects in energy production, carbon emission trading schemes, climate change mitigation and environmental risk transfer. New mathematical tools such as mean- field games, fully nonlinear stochastic differential games and backward-forward stochastic dfferential equations are being developed for these tasks. The workshop will present the latest state-of-the-art and explore outstanding problems.

For additional information contact thematic(PUT_AT_SIGN_HERE)


Back to top