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Workshop on the Pricing and hedging of environmental and energy-related financial derivatives
(4 - 9 Dec 2009)

Jointly organized with Risk Management Institute, NUS

 

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists

 

Venue: IMS Auditorium unless otherwise stated

 

 Friday, 4 Dec 2009

02:00pm

Round table discussion
Venue: IMS Lounge at House 4

 Monday, 7 Dec 2009

08:30am - 08:45am

Registration

08:45am - 09:00am

Opening remarks
Ulrich Horst, Humboldt-Universität zu Berlin, Germany
Juri Hinz, National University of Singapore

09:00am - 10:00am

Socially efficient discounting under ambiguity aversion (PDF)
Christian Gollier, University Toulouse I, France

10:00am - 11:00am

Cross hedging with stochastic correlation
Gregor Heyne, Humboldt-Universität zu Berlin, Germany

11:00am - 12:00nn

Arbitrage models of commodity prices (PDF)
Andrea Roncoroni, ESSEC Business School, France
Rachid Id Brik, University Paris Dauphine, France

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 03:00pm

Backward stochastic equations and equilibrium pricing in incomplete financial markets (PDF)
Ulrich Horst, Humboldt-Universität zu Berlin, Germany

03:00pm - 04:00pm

Pricing and hedging in carbon emissions markets (PDF)
Umut Cetin, London School of Economics, UK

04:00pm - 05:00pm

Processes of class Sigma, last passage times and drawdowns
Patrick Cheridito, Princeton University, USA

Tuesday, 8 Dec 2009

08:45am - 09:00am

Registration

09:00am - 10:00am

How to price Asian temperature risk (PDF)
Wolfgang Härdle, Humboldt-Universität zu Berlin, Germany

10:00am - 11:00am

Modeling risk-neutral allowance price evolution with applications to option pricing (PDF)
Juri Hinz, National University of Singapore

11:00am - 12:00nn

Design of cap and trade schemes
Max Fehr, London School of Economics and Political Sciences, UK

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 03:00pm

Flexibility premium in marketable permits (PDF)
Luca Taschini, London School of Economics, UK

03:00pm - 04:00pm

Optimal derivative design in multi-agency games
Santiago Moreno-Bromberg, Humboldt-Universität zu Berlin, Germany

04:00pm - 05:00pm

Challenges of the emissions markets (PDF)
Rene Carmona, Princeton University, USA

Wednesday, 9 Dec 2009 (Special lectures)

08:45am - 09:00am

Registration

09:00am - 10:00am

Dynamic market models: the case of the equity markets (PDF)
Rene Carmona, Princeton University, USA

10:00am - 11:00am

Order books and alternative trading venues (PPT)
Ulrich Horst, Humboldt-Universität zu Berlin, Germany

11:00am - 12:00nn

The role of time horizon on the optimal portfolio allocation (PDF)
Christian Gollier, University Toulouse I, France

12:00nn - 02:00pm

--- Lunch Break --- (lunch at IMS)




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