Program

  Printable version of the conference program available here

> Monday 4, 2019

  • 09.00 – 10.15      Registration (Big Hall, Building U7, 4th Floor) and welcome coffee
  • 10.15 – 10.30      Opening – Welcome speech by Mario Mezzanzanica – Head of Dept of Statistics and Quantitative Methods
  • 10.30 – 11.00      Raffaella Cremonesi, Head of Dept of Financial Planning, Cash Flow and Currency Management, ENI: “Problems and open issues in Financial planning and management in an energy company” (Chair: Silvana Stefani)
  • 11.00 – 13.00      Session #1 – Electricity markets 1 (Chair: Tiziano Vargiolu)
    • Tomasz Serafin – “Window Selection and Averaging for Probabilistic Day-Ahead Electricity Price Forecasting” – (Discussant: Fulvio Fontini)
    • Bartosz Uniejewski – “Understanding Intraday Electricity Markets: Variable Selection and Very Short-Term Price Forecasting Using Lasso” (Discussant: Tomasz Serafin)
    • Paolo Falbo – “Equilibrium Price of Carbon Certificates and the Electricity Sector” (Discussant: Tiziano Vargiolu)
    • Michał Narajewski – “Econometric Modelling and Forecasting of Intraday Electricity Prices” (Discussant:Bartosz Uniejewski)

  • 13.00 – 14.00      Lunch

  • 14.00 – 15.30      Session #2 – Pricing, valuation and derivatives 1 (Chair: Carlo Mari)
    • Piergiacomo Sabino – “Forward or Backward Simulation? Application to the Pricing of Energy Facilities” (Discussant: Dimitrios Zormpas)
    • Annika Kemper – “Options on Futures in Electricity Markets: an Affine Seasonal Stochastic Volatility Model” (Discussant: Piergiacomo Sabino)
    • Dimitrios Zormpas – “Investing in Electricity Production Under a Reliability Options scheme” (Discussant: Annika Kemper)
  • 15.30 – 16.00      Coffee Break
  • 16.00 – 17.30      Session #3 – Gas and commodity markets (Chair: Paolo Falbo)
    • Emanuele Nastasi – “Smile Modelling in Commodity Markets” (Discussant: Maren Diane Schmeck)
    • Maren Diane Schmeck – “Activity Based Modelling of Commodity Futures Markets” (Discussant: Michał Narajewski)
    • Emanuele Fabbiani – “Short-Term Forecasting of Italian Gas Demand” (Discussant: Emanuele Nastasi)
  • 17.30 – 18.00     Virginia Canazza “New trends in applied research in the Energy Sector” (Chair: Carlo Lucheroni)
  • 18.00 – 19.00     “The future of IEF” – General discussion

20.00 Social Dinner at Harry’s Bar (in front of Teatro Bicocca degli Arcimboldi; a 5-minute walk from building U7)

> Tuesday 5, 2019

  • 09.30 – 11.00     Session #4 – Renewables (Chair: Maria Teresa Vespucci)
    • Patrizio Morganti – “Renewables, Finance, and Growth: Causality Relationships” (Discussant: Carlo Lucheroni)
    • Silvia Checola – “Life Cycle Costing for Financial and Environmental Assessments: a Renewable Energy Project” (Discussant: Antonella Basso)
    • Giovanni Micheli – “A Deterministic Model for Generation and Transmission Expansion Planning with High Shares of Renewables” (Discussant Enrico Moretto)
  • 11.00 – 11.30       Coffee Break
  • 11.30 – 13.00      Session #5 – Electricity markets 2 (Chair: Enrico Moretto)
    • Sergei Kulakov – “Determining the Demand Elasticity in a Wholesale Electricity Market” (Discussant: Mariia Soloviova)
    • Mariia Soloviova – “Efficient Representation of Supply and Demand Curves on Day-Ahead Electricity Markets” (Discussant: Sergei Kulakov)
    • Silvana Stefani – “How to Guarantee the General Charges of electricity in the Liberalized Energy Value Chain” (Discussant: Paolo Falbo)
  • 13.00 – 14.00     Lunch
  • 14.00 – 15.00     Session #6 – Pricing, valuation and derivatives 2 (Chair: Antonella Basso)
    • Antonella Basso – “Efficiency Valuation of Stocks and Green Portfolio Construction: a Two Stage Approach” (Discussant: Enrico Moretto)
    • Enrico Moretto – “A First Attempt to Bridge the Gap Between Derivative and Insurance Contracts: Hedging Meteorological Risk” (Discussant: Cristian Pelizzari)
  • 15.00 – 15:30      Helyette Geman – Skype session: “Some Examples of High Frequency Trading in Crude Oil Markets during Times of High Volatility” (Chair: Silvana Stefani)
  • 15:30 – 16:00      Farewell Coffee

The detailed conference program is available here

The book of abstracts is available here

NOTE: The whole conference will take place in building U7, 4th floor, room 4064

The organizing committee gratefully acknowledges financial support by:

DiSMeQ – Dipartimento di Statistica e Metodi Quantitativi – Università di Milano Bicocca

DiSMeQ

Dipartimento di Matematica “Tullio Levi-Civita” – Università di Padova


AMASES – Associazione Matematica Applicata alle Scienze Economiche e Sociali

most recent update: Wed. 24th January, 2019