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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.
PROGRAM ACTIVITIES
Summer
School: August 6-27, 2013
Confirmed lecturers:
Fred Benth (University of Oslo)
René Carmona (Princeton University)
Glen Swindle (Scoville Risk Partners)
The mini-courses will each consist of 5 lectures.
Aug 6-8 (Tue-Thu): Lectures 1-3
Aug 12-13 (Mon-Tue): Lectures 4-5
Mini-Course on Valuing and Trading Correlation Structures in Commodities
Speaker: Glen Swindle
Aug 19-23 (Mon-Fri):
Mini-Course on Stochastic Models of Electricity Markets
Speaker: Fred Benth
Aug 12-13 (Mon-Tue): Lectures 1-2
Aug 26-27 (Mon-Tue): Lectures 3-5
Mini-Course on Financialization of the Commodity Markets and Mean
Field Games
Speaker: René Carmona
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.
August 14-16, 2013 (Wed-Fri)
Workshop on Electricity,
Energy and Commodities Risk Management
Organizing Committee: René Aïd, Matt
Davison, 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(at)fields.utoronto.ca
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Focus
Program on Commodities, Energy and Environmental Finance
