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
8:00 - 8:55 Check-In/Light Breakfast (Hosted by IPAM)
8:55 - 9:00 Welcome and Opening Remarks
9:00 - 9:45
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

12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
Hans Tuenter (Ontario Power Generation)

The New Normal: Coping with Renewables

3:00 - 3:45
4:00 - 4:30 Break
4:30 - 5:30 Panel Discussion: The New Commodity Markets: how do they cope with regulation?
5:30 - 7:00 Reception (Location: IPAM Lobby)

Tuesday, May 5, 2015

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:45
Wei Xiong (Princeton University)

Economics of financialization
PDF Presentation
10:00 - 10:45
Wei Xiong (Princeton University)

Financialization of the commodity markets
PDF Presentation
11:00 - 11:30 Break
11:30 - 12:15
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
3:00 - 3:45
Alexander Eydeland (Morgan Stanley)

Commodity Modeling: What has been working well, working poorly or not working at all
PDF Presentation
4:00 - 4:30 Break
4:30 - 5:15
Sebastian Jaimungal (University of Toronto)

Model Uncertainty in Commodity Models


Wednesday, May 6, 2015

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:45
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

12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
Luca Taschini (London School of Economics and Political Science)

Comovement and Financialization in the Commodity Market
PDF Presentation
3:00 - 3:45
Berna Karali (University of Georgia)

The Pattern of Price Linkages Among Commodities

4:00 - 4:30 Break
4:30 - 5:15
Ruediger Kiesel (Universität Duisburg-Essen)

A structural model for coupled electricity markets
PDF Presentation

Thursday, May 7, 2015

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:45
Andrew Papanicolaou (University of Sydney)

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
PDF Presentation
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
3:00 - 3:45
Stathis Tompaidis (University of Texas at Austin)

Transmission of Risk in a Supply Chain

4:00 - 4:30 Break
4:30 - 5:15
Michel Robe (American University)

High Frequency Traders and Oil Market Fragility


Friday, May 8, 2015

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:45
10:00 - 10:45
11:00 - 11:30 Break
11:30 - 12:15
Michael Ludkovski (University of California, Santa Barbara (UC Santa Barbara))

Dynamic R&D Competition in Cournot Markets
PDF Presentation