Institute for Mathematical Sciences Event Archive
Tutorials/Workshops Enquiries |
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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
02:00pm |
Round table discussion |
08:30am - 08:45am |
Registration |
08:45am - 09:00am |
Opening remarks |
09:00am - 10:00am |
Socially efficient discounting under ambiguity aversion (PDF) |
10:00am - 11:00am |
Cross hedging with stochastic correlation |
11:00am - 12:00nn |
Arbitrage models of commodity prices (PDF) |
12:00nn - 02:00pm |
--- Lunch Break --- |
02:00pm - 03:00pm |
Backward stochastic equations and equilibrium pricing in incomplete financial markets (PDF) |
03:00pm - 04:00pm |
Pricing and hedging in carbon emissions markets (PDF) |
04:00pm - 05:00pm |
Processes of class Sigma, last passage times and drawdowns |
Tuesday, 8 Dec 2009 |
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08:45am - 09:00am |
Registration |
09:00am - 10:00am |
How to price Asian temperature risk (PDF) |
10:00am - 11:00am |
Modeling risk-neutral allowance price evolution with applications to option pricing (PDF) |
11:00am - 12:00nn |
Design of cap and trade schemes |
12:00nn - 02:00pm |
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02:00pm - 03:00pm |
Flexibility premium in marketable permits (PDF) |
03:00pm - 04:00pm |
Optimal derivative design in multi-agency games |
04:00pm - 05:00pm |
Challenges of the emissions markets (PDF) |
08:45am - 09:00am |
Registration |
09:00am - 10:00am |
Dynamic market models: the case of the equity markets (PDF) |
10:00am - 11:00am |
Order books and alternative trading venues (PPT) |
11:00am - 12:00nn |
The role of time horizon on the optimal portfolio allocation (PDF) |
12:00nn - 02:00pm |
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