Commodities and energy markets continue to grow in activity and influence. Because of the growing concern about environmental issues inherent to the production and consumption of energy, quantitative insights into these marketplaces are crucial for sustainable development and policy making with respect to climate change.
How do we model the strategic behavior of existing oil producers facing new green energy competitors? Can we design an effective and fair market for CO2 emission allowances? How do we quantify the gains from building more efficient electricity grids? What are best ways of sharing weather risk?
These and other questions are part of ongoing research trends in Financial Mathematics. Stochastic modeling has provided a fertile interdisciplinary approach to analyzing the design, valuation, trading and risk management of commodity contracts. Energy policy-making, moving from exhaustible fuel sources to renewable ones, accounting for spikes in electricity prices in response to demand and weather, controlling carbon emissions from polluting industries, and regulating the
speculative role of financial traders in commodity markets are some of the major new challenges facing researchers at the interface of finance, economics, insurance, and stochastic analysis. The above issues which are central to the themes of MPE, highlight another facet of applied mathematics that helps our understanding of the environment.
As part of Mathematics of Planet Earth activities, the Fields Institute in Toronto, ON Canada will host during August 6-30, 2013 a Focus Program on Commodities, Energy, and Environmental Finance. The Focus Program is dedicated to exposing its participants to the latest state-of-the-art in this very recent field, that is experiencing a very fast development enhanced by connections with many other topics of applied mathematics.
Among the topics that will be discussed are the increased “financialization” of commodities markets, analysis of oligopolies in energy markets, equilibrium and risk transfer in environmental finance, stochastic control of energy, electricity and commodity markets and modeling of electricity supply and demand. Associated mathematical developments include nonlinear PDEs, backward SDEs, mean-field games, inverse problems, risk measures and high-dimensional stochastic control.
The Focus Program’s activities include a Summer School during August 6-27, 2013 with 3 mini-courses given by F. Benth, R. Carmona and G. Swindle, as well as two Workshops:
Aug 14-16, 2013: Workshop on Electricity, Energy and Commodities Risk Management
Aug 27-29, 2013: Workshop on Stochastic Games in Environmental Finance
More information can be found here.
Mike Ludkovski (UCSB)