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THE
FIELDS INSTITUTE FOR RESEARCH IN MATHEMATICAL SCIENCES
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 Focus
Program on Commodities, Energy and Environmental Finance
August 6- 30, 2013
Hosted by the Fields Institute, 222 College St., Toronto
(map)
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Organizing
Committee
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René
Aïd (Electricité de France), René
Carmona (Princeton),
Matt Davison (Western Ontario), Ivar Ekeland (Paris-Dauphine)
Mike Ludkovski (UC, Santa Barbara), Ronnie Sircar (Princeton)
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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. |
| Click photo for larger image |
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PROGRAM ACTIVITIES
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
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| 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)fields.utoronto.ca
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