Stochastic models for energy forward markets

Wednesday 20 December 2017 h.14:30, Room 2BC30
Marco Piccirilli (Padova, Dip. Mat.)
“Stochastic models for energy forward markets”

Abstract
I will present a probabilistic modeling framework for forward prices, specifically designed for energy markets. Most of the presentation will be kept at an intuitive level, as far as this is possible and sensible. I will start by explaining the general framework of the talk and then move to our contribution, of course describing the underlying mathematical theory as well.
This talk is based on joint work with Fred Espen Benth, Luca Latini and Tiziano Vargiolu.