EFC11

Energy Finance Christmas Workshop (EFC11)

19-20.12.2011, Wrocław, Poland

The series of Energy Finance Christmas workshops started back in 2011, when I invited two of my colleagues and good friends - Stefan Trück and Sjur Westgaard - to give talks at the Science meets Social Science (S3) seminar. Stefan and Sjur promptly accepted the invitations, but later started changing dates of their stay in Wrocław. After lengthy negotiations it turned out they both wanted to come in the same week, right before Christmas! To resolve the 'crisis' I decided to invite a few more colleagues, organize a workshop and call it the Energy Finance Christmas Workshop. The EFC11 held on December 19th and 20th turned out to be a great success ... to the extent that Stefan concluded his talk by saying: See you all next year in Sydney for EFC12!

Rafał Weron
EFC Series General Chair

Venue

Wrocław University of Technology (WUT)
Institute of Organization and Management
Room 447, building B4
Campus map (JPG, 345KB)

Press coverage

photo Photo album
pdf Article in Pryzmat (in Polish, 320 KB)

Invited speakers

  • Brenda Lopez Cabrera, Humboldt-Universität zu Berlin, Germany
  • Angelica Gianfreda, European University Institute, Florence, Italy
  • Stephane Goutte, CNRS, Paris, France
  • Joanna Janczura, Wrocław University of Technology, Poland
  • Takashi Kanamura, J-Power, Tokyo, Japan
  • Tomasz Kludka, EDF Trading, London, UK
  • Tarjei Kristiansen, SN Power, Oslo, Norway
  • Katarzyna Maciejowska, Wrocław University of Technology, Poland
  • Jakub Nowotarski, Wrocław University of Technology, Poland
  • Bogdan Ruszczak, Opole University of Technology, Poland
  • Sandro Sapio, University of Naples "Parthenope", Italy
  • Anannit Sumawong, ICMA, Reading, UK
  • Stefan Trück, Macquarie University, Sydney, Australia
  • Sjur Westgaard, NTNU, Trondheim, Norway

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Program

(all sessions chaired by Rafał Weron)

Monday, 19.12.2011

13:00-13:30 Registration (refreshments and snacks served)

13:30-16:10 Session 1: Earth, wind, water and fire (4x40min talks)

  • Brenda Lopez Cabrera, Implied state price densities for weather derivatives (with Wolfgang Härdle and Huei-Wen Teng) [Slides pdf 1.2 MB]
  • Bogdan Ruszczak, Cash flow simulation of a wind park investment [Slides pdf 2.3 MB]
  • Tomasz Kludka, Modeling wind speeds in the Netherlands using VAR time series with non-Gaussian innovations [Slides pdf 1.3 MB]
  • Takashi Kanamura, The role of capesize vessels in freight markets [Slides pdf 0.2 MB]

16:10-16:20 Coffee break

16:20-18:20 Session 2: Crystal ball and beyond (3x40min talks)

  • Tarjei Kristiansen, Power trading analytics and forecasting in Germany [Slides pdf 0.7 MB]
  • Angelica Gianfreda, Scenario forecasting of Italian electricity zonal prices (with Luigi Grossi) [Slides pdf 0.9 MB]
  • Katarzyna Maciejowska, A bivariate model of electricity loads and prices [Slides pdf 0.2 MB]

ca. 18:30 Stroll to the Wrocław Christmas Market (Jarmark Bożonarodzeniowy)

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Tuesday, 20.12.2011

09:00-11:40 Session 3: Risky pricing and hedging (4x40min talks)

  • Sjur Westgaard, Modeling and forecasting electricity price risk using volatility adjusted quantile regression (with Derek Bunn, Arne Andresen and Dipeng Chen) [Slides pdf 0.7 MB]
  • Anannit Sumawong, Hedging the crack spread (with Carol Alexander and Marcel Prokopczuk) [Slides pdf 0.4 MB]
  • Joanna Janczura, Modeling electricity spot prices with regime-switching models: Calibration and derivatives pricing issues (with Rafał Weron) [Slides pdf 1.7 MB]
  • Stephane Goutte, Pricing and hedging in regime switching stochastic volatility: Application to electricity markets [Slides pdf 0.4 MB]

11:40-12:20 Brunch

12:20-14:20 Session 4: The incredible world of modeling (3x40min talks)

  • Stefan Trück, Modeling spot price dependence in Australian electricity markets with applications to risk management (with Katja Ignatieva) [Slides pdf 1.1 MB]
  • Sandro Sapio, Structural models of the Italian electricity supply stack [Slides pdf 0.6 MB]
  • Jakub Nowotarski, Wavelet-based modeling and forecasting of the seasonal component of spot electricity prices (with Jakub Tomczyk and Rafał Weron) [Slides pdf 2.2 MB]

14:30 Polish Christmas Eve Dinner (Wigilia) sponsored by WIZ

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Travel tips

Check the Wrocław airport website for direct flights to/from Wrocław. Bus #406 runs every 20 minutes to the Central Railway Station, which is ca. 20 min walking distance from downtown or 4-7 tram/bus stops (tram #2, buses #145, #146) from WUT. See the timetable of bus #406 for departure times (PORT LOTNICZY = Airport, DWORCOWA = Central Railway Station)

It is also possible to reach Wrocław by train (a new 3 hour connection to/from Dresden runs 3 times a day). For connections and prices see the PKP website

In Wrocław you can use trams/buses (timetables) or taxis (phone numbers) for local communication. The conference site (at WUT) can be reached from tram/bus stops PL.GRUNWALDZKI (ca. 7 min) or KLINIKI (ca. 2 min). Single-ride (bilet jednorazowy) and 30-minute (bilet czasowy) tickets cost 2.40 PLN

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Accommodation suggestions

Nice and cozy:

  • Art hotel**** (downtown, ca. 35 min walk to WUT or 10 min walk and 4/5 tram stops, ca. 320 PLN/night w/breakfast)
  • Hotel of John Paul II**** (on the Cathedral Island, close to downtown and WUT, ca. 25 min walk to WUT or 10 min walk and 3/4 tram stops, ca. 210 PLN/night w/breakfast)
  • Hotel Rezydent** (in the Szczytnicki park, ca. 25 min walk to WUT or 3 tram stops, ca. 180 PLN/night w/breakfast and supper)

More business like:

  • Radisson Blu Hotel, Wroclaw***** (on the way from WUT to downtown, ca. 20 min walk to WUT or 5 min walk and 3/4 tram stops, ca. 520 PLN/night w/breakfast)
  • Sofitel Wrocław Old Town**** (downtown, ca. 35 min walk to WUT or 10 min walk and 4/5 tram stops, ca. 450 PLN/night w/breakfast)
  • Hotel Mercure*** (on the way from WUT to downtown; ca. 25 min walk to WUT or 3/4 tram stops, ca. 300 PLN/night w/breakfast)

More hotels on booking.com. Exchange rate: 1 EUR = ca. 4.20/4.50 PLN, other currencies.

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