Economics and Finance

Program:
8:30   Registration
9:00   Opening: Wolfgang Polasek (IHS, Vienna)
9:05   Katrin Baumgartner, Valery Kholodnyi (Verbund-APT, Vienna):
         "Extracting Risk-Neutral Probabilities from Energy Forwards
         in the Framework of the Non-Markovian Approach"
Plenary lectures:
9:50   Andreas Eichhorn (Verbund-APT, Vienna): "Stochastic
         Programming in Energy: Theory vs. Practical Application"
10:30 Wolfram Wiesemann (Imperial College of Science,
         London): "Stochastic Programming without Scenario Trees"
11:40 Daniel Kuhn (Imperial College of Science, London):
        "Breaking the Curse of Dimensionality in Energy Trading"
12:20 Lunch break
13:40 Ronald Hochreiter (Vienna University of Economics
         and Business) and David Wozabal (University of Vienna):
         "A Multi-Stage Stochastic Programming Model for Managing
         Risk-Optimal Electricity Portfolios"
14:20 David Wozabal, Nils Löhndorf, Stefan Minner
         (University of Vienna): "Optimal Day-Ahead Bidding of
         Electricity Storage using Approximate Dynamic Programming"
15:00 Coffee break
15:30 Georg Ostermaier (Decision Trees, St. Gallen):
         "Stochastic Programming in Gas Storage and Gas
         Portfolio Management"
16:10 Christian Redl (Vienna University of Technology),
         Derek W. Bunn (London Business School):
         "Determinants of Forward Premia in Electricity Markets:
         A Taxonomic Empirical Analysis"
16:50 Final Words by the organizers
17:00 End of the Workshop

2010-09-07