Miniworkshop: Practitioner's Day
Time: Mon, September 08, 2008, 09:45-10:30
Speaker: Peter Leoni
Abstract
The Derivatives market for Power and Gas is rather new but it is experiencing a sharp increase in the liquidity of Plain Vanilla Options and Structured Products. However, pricing and managing these products remain highly challenging for several reasons. The talk will focus more on the problems that a Quant faces in these markets with the goal to attract more fundamental research.
The topics that will be touched upon will range from seasonal forward and volatility markets, to spike-behaviour of the prices on the short-end of the forward curve to the complexity of the products, together with liquidity constraints in the hedging procedure.
Presentation slides (pdf, 577 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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