Workshop III: Commodity Markets and their Financialization - IPAM

Workshop III: Commodity Markets and their Financialization

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics
May 4 - 8, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Monday, May 4, 2015

Morning Session

08:00-08:55
Check-In/Light Breakfast (Hosted by IPAM)
08:55-09:00
Welcome and Opening Remarks
09:00-09:45
René Carmona (Princeton University)
Statistical analysis of commodity market data
10:00-10:45
Beth Hausmann (Bloomberg)
Commodity Indexes: What are they? Who trades them?
11:00-11:30
Break
11:30-12:15
Eduardo Schwartz (University of California, Los Angeles (UCLA))
The Real Options Approach to Valuation: Challenges and Opportunities

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Hans Tuenter (Ontario Power Generation)
The New Normal: Coping with Renewables
15:00-15:45
Glen Swindle (Scoville Risk Partners)
Lending, Building and Trading in a Low Liquidity World
16:00-16:30
Break
16:30-17:30
Panel Discussion: The New Commodity Markets: how do they cope with regulation?
17:30-19:00
Reception (Location: IPAM Lobby)

Tuesday, May 5, 2015

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:45
Wei Xiong (Princeton University)
Economics of financialization
10:00-10:45
Wei Xiong (Princeton University)
Financialization of the commodity markets
11:00-11:30
Break
11:30-12:15
Willi Jaeger (Ruprecht-Karls-Universität Heidelberg)
Modeling price formation in a multi-commodity market - an application in petrochemical industry

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Tim Leung (Columbia University)
The Potential of Small Modular Infrastructure in the Commodity Industry
15:00-15:45
Alexander Eydeland (Morgan Stanley)
Commodity Modeling: What has been working well, working poorly or not working at all
16:00-16:30
Break
16:30-17:15
Sebastian Jaimungal (University of Toronto)
Model Uncertainty in Commodity Models

Wednesday, May 6, 2015

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:45
Juri Hinz (University of Technology, Sydney)
On the role of energy mix for optimization of emission market architecture
10:00-10:45
Ronnie Sircar (Princeton University)
Fracking, Renewables & Mean Field Games
11:00-11:30
Break
11:30-12:15
Mindy Mallory (University of Illinois at Urbana-Champaign)
Exchange rate effect on carbon credit price via energy markets

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Luca Taschini (London School of Economics and Political Science)
Comovement and Financialization in the Commodity Market
15:00-15:45
Berna Karali (University of Georgia)
The Pattern of Price Linkages Among Commodities
16:00-16:30
Break
16:30-17:15
Ruediger Kiesel (Universität Duisburg-Essen)
A structural model for coupled electricity markets

Thursday, May 7, 2015

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:45
Andrew Papanicolaou (New York University)
Investment in Commodities ETFs and Management of Contango
10:00-10:45
Steffen Hitzemann (University of Pennsylvania)
Production-Based Asset Pricing and the Oil Market
11:00-11:30
Break
11:30-12:15
Delphine Lautier (Université de Paris IX (Paris-Dauphine))
Equilibrium models for commodity futures markets

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Rene Aid (Électricité de France)
An optimal trading problem in intraday electricity markets
15:00-15:45
Stathis Tompaidis (University of Texas at Austin)
Transmission of Risk in a Supply Chain
16:00-16:30
Break
16:30-17:15
Michel Robe (American University)
High Frequency Traders and Oil Market Fragility

Friday, May 8, 2015

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:45
Michael Coulon (University of Sussex)
Environmental Market Design: Analyzing the Impact of Regulatory Policy on Certificate Price Dynamics
10:00-10:45
Daniel Schwarz (Carnegie-Mellon University)
Financial market equilibria with constraints: a framework for the valuation of non-traded risk in commodity markets
11:00-11:30
Break
11:30-12:15
Michael Ludkovski (University of California, Santa Barbara (UCSB))
Dynamic R&D Competition in Cournot Markets
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