2009-INREC on Stochastics and Risk Modelling

Stochastics and Risk Modelling for Energy and Commodity Markets
Innovative Approaches in Economics, Finance and Engineering

International Ruhr Energy Conference
4 – 6 October 2009
Duisburg-Essen University
Glaspavillon
Universitätsstraße 2, 45147 Essen, Germany

The energy sector is in a process of rapid change. Decision makers have to take into account a multitude of different factors: strong price fluctuations, changing political and regulatory frameworks and dynamic technology developments. In this particularly challenging environment new methods and approaches are needed to deal with risk and uncertainty in a theoretically sound and practically feasible way. The 1st International Ruhr Energy Conference aims at gathering scientists and practitioners from different backgrounds for deepened discussions on energy market modelling and decision support. By having a closer look at topical methods developed to describe and handle risk and uncertainty, we aim at providing new insights and new solutions for the energy markets of the future.

Conference themes and topics

The conference focuses on contributions in the following research areas:

Trading in commodity markets: Design and evaluation of trading strategies in spot and derivative markets
Multivariate non-normal price distributions: Financial and fundamental models for simulating and forecasting price characteristics in electricity and other commodity markets
Risk measurement and validation of risk models: Risk assessment and risk metrics with a particular emphasis on systemic and liquidity risk
Physics and commercial operations: Improvements in current market designs to cope with non-storability and technical constraints (e.g. laws of load flow) in electricity markets as well as with
Investments under uncertainty: Optimization-based and other methods for decision support in longer term decision making
Fluctuating renewables and markets: Developing products, mitigating risks and operating grids and markets with high penetration of wind and solar

Keynote Speakers

Bernhard Günther, Member of the Executive Board of RWE Supply & Trading
Benjamin F. Hobbs, Professor in Environmental Management at the Whiting School of Engineering, Johns Hopkins University (Baltimore, Maryland, USA)
Derek M. Bunn. Professor at London Business School

Parallel Session Speakers

Ankirchner,Stefan	EnBW Trading GmbH, Karlsruhe	Optimal Liquidation of Large Power Positions in Illiquid Markets
Barth,Rüdiger	Institute of Energy Economics and the Rational Use of Energy, University of Stuttgart	Impacts of load flow based market coupling in Europe – Analysis with a zonal electricity market model
Felix,Bastian	Chair for Management Science and Energy Economics, Duisburg-Essen University	Gas storage valuation under limited liquidity
Fritz,Andreas	Chair for Management Science and Energy Economics, Duisburg-Essen University	Efficiency in the Crude Oil Market: Backtesting recent developments with multifactor models
Frueh ,Joseph P.	E.ON Energie AG, Munich	Strengthening Investment Decisions for Power Generation Assets Using Portfolio Analysis – E.ON's Experience
Heggedal,Ane Marte	Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim	Transmission Investment under Uncertainty: The Case of Germany‐Norway
Hitzemann,Steffen	Chair of Financial Engineering and Derivatives, University of Karlsruhe	Dynamic Behavior of CO2 Spot Prices – Modeling Multiple Trading Periods
Holz,Franziska	Dept. of Energy, Transportation, Environment, German Institute of Economic Research Berlin	Timing of Investments in an Uncertain World
John,Oliver	RWE Transportnetz Strom GmbH, Dortmund	Modelling Financially Optimal Decisions of Network Operators under Regulatory Uncertainty
Keles,Dogan	Institute for Industrial Production, University of Karlsruhe	Evaluation of Compressed Air Energy Storage Plant Based on Stochastic Electricity Price Simulations
Kholodnyi,Valery	Verbund Austrian Power Trading AG, Vienna	Modeling Energy American Options in the Framework of the Non-Markovian Approach
Koberstein,Achim	Decision Support and Operations Research Lab, University of Paderborn	Modelling and Optimising Risk in a Strategic Gas Purchase Portfolio Planning Problem
Kolmsee,Karl Reinhard	Department for European Energy Business, Applied University of Kufstein	Investment under Uncertainty or the Recovery of Strategy in Investment Models
Metka,Kevin	Institute of Mathematical Finance, University of Ulm	Valuation of Structured Electricity Contracts with Market Models
Mirbach,Tobias	Institute of Power Systems and Power Economics, RWTH Aachen University	Modelling Trading Strategies for the Investigation of Price Developments in the European Electricity Market
Parsons,John E.	Massachusetts Institute of Technology, Cambridge (MA)	Do Trading and Power Operations Mix? The Case of Constellation Energy Group’s Liquidity Crisis of 2008
Rammersdorfer,Margarethe	Institute for Corporate Finance, Vienna University of Economics and Business Administration	Optimal Trading Strategies for Day-ahead Contracts and Balancing Power
Sturt,Alexander	Department of Electrical and Electronic Engineering, Imperial College London	Time-Series Modelling of Power Output for Large-Scale Wind Fleets
Trück,Stefan	Department of Economics, Macquarie University, Sydney	The Link between Oil Price Movements and the Performance of Renewable Energy Companies - A State Space Model Approach
Unger,Nils	Chair of Financial Engineering and Derivatives, University of Karlsruhe	Valuation and Hedging of Energy Derivatives
Walther,Wolfgang	Bain & Company, Munich	Stochastic Modeling of Long-Term Fuel Price Uncertainties
Ziegler,Daniel	Chair for Management Science and Energy Economics, Duisburg-Essen University	Will investors in electricity markets under uncertainty go for welfare optimal investments?

Scientific committee

Prof. Dr. Christoph Weber, Essen (Chair)
Prof. Dr. Wolf Fichtner, Karlsruhe
Prof. Dr. Rüdiger Kiesel, Ulm
Prof. Dr. Christian Rehtanz, Dortmund

Further Infromation

See the conference homepage //www.inrec.wiwi.uni-due.de/home/ or contact

Daniel Ziegler, daniel.ziegler@uni-due.de, tel +49(0)201/183-2643
Oliver Woll, oliver.woll@uni-due.de, tel +49(0)201-183-3389