Background and activities
Research interests: Finance (capital markets, financial institutions, financial regulation, risk measures); Energy and Commodity Finance (pricing and risk management in electricity, gas and oil markets)
Methods and skills: Econometrics (applied and estimation): regime-switching models, time-varying quantile regression, time series; Financial mathematics: random field modelling; Multistage stochastic programming: production planning with applications to energy;
November 2016 – ECOMFIN Best Paper Award, Energy and Commodity Finance Conference, Paris.
October 2013– DK Gupta Memorial Best Energy Paper Award 2013, Conference Energy Finance, Essen.
- EU Grant Horizon 2020, +CityxChange (2018), (1`000`000 NOK) project partner: http://cityxchange.eu/
- Grant offered by the Norwegian Finance Initiative (NFI) to build a PhD Summer School of Finance (2019) at NTNU Business School (50'000 USD)
- NTNU Research Grant 6 million NOK (2 PhD positions financed for 3 years) (February 2018): Financial challenges for the integration of short term electricity markets with Stein-Erik Fleten
- Research grant Adolf Øiens donasjonsfond (March 2018), 100`000 NOK, Energizing new computational frontiers
- Isaac Newton Institute (personal) EU grant: Simons Fellowship, Isaac Newton Institute, Research Stay Cambridge, 15 March—03 May 2019.
- Swiss Federal Office of Energy SFOE, Research programme Energy-Economy-Society (EWG), 2016. Grant of 120’000 CHF for the research proposal: Econometric analysis of the determinants of electricity wholesale prices
- Joint grant with the University of Vienna of 40’000 EUR (2010-2013) Energy Policies and Risk Management for the 21st Century
- Ranik Raaen Wahlstrøm (quantitative finance)
- Wei Li (energy finance)
- Christoph Halser (commodity finance)
- postdoc: Marianna Russo
International Research Collaborations:
- University of St. Gallen (Lehrauftrag)
- University of Duisburg-Essen (Research Fellow)
- Queen Mary University of London (Research Fellow)
- Universities of Oslo and Karlsruhe
Scientific, academic and artistic work
Displaying a selection of activities. See all publications in the database
- (2019) Special issue of the XV International Conference on Computational Management Science. Computational Management Science.
- (2019) Integration of renewable energies with impact on electricity trading. Faculty Collocvium . Karlsruhe Institute of Technology, Faculty of Economics; Karlsruhe. 2019-11-06 - 2019-11-07.
- (2019) Reporting on the research track on "Pricing and optimization of intraday/day-ahead electricity and futures contracts" Mathematics for Energy Systems program, Isaac Newton Institute. 2019.
- (2019) Webinar University of Cambridge, INI, Mathematics for Energy Systems Programme: Econometrics of Intraday Electricity Prices: https://gateway.newton.ac.uk/presentation/2019-05-01/25712. Webinar: https://gateway.newton.ac.uk/presentation/2019-05-01/25712 . Isaac Newton Institute, University of Cambridge; Cambridge UK. 2019-05-01.
- (2019) Portfolio Stress Testing Applied to Commodity Futures. Computational Management Science.
- (2019) Forecasting Price Distributions in the German Electricity Market. International Financial Markets, Volume 1.
- (2018) Cross-Border Effects on Swiss Electricity Prices in the Light of the Energy Transition. Energies. vol. 11 (9).
- (2018) On the Construction of Hourly Price Forward Curves for Electricity Prices. Computational Management Science.
- (2018) A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. Energy. vol. 154.
- (2017) Modeling the multivariate dynamic dependence structure of commodity futures portfolios. Journal of Commodity Markets. vol. 6.
- (2017) A space-time random field model for electricity forward prices. Journal of Banking & Finance. vol. 95.
- (2017) Econometric analysis of 15-minute intraday electricity prices. Energy Economics. vol. 64.
- (2017) A space-time random field model for electricity forward prices. Workshop Lorenz Center: Applied Mathematics Techniques for Energy Markets in Transition . Lorenz Center 19 Sept. 2017; 2017-09-18 - 2017-09-22.
- (2017) Webinar ESSEC Business School Paris: Random field models for energy forwards. Webinar (public scientific lecture) ESSEC BUSINESS SCHOOL PARIS: https://sites.google.com/a/essec.edu/energy-commodity-finance-research-center/events/monthly-executive-seminar . ESSEC BS; Paris Cergy. 2017-11-21.
- (2017) Econometric analysis of the determinants of electricity wholesale prices in Switzerland and Germany (Project Financed by Swiss Federal Office of Energy). 2017.
- (2017) Replication of non-maturing products in a low interest rate environment. The Handbook of ALM in Banking.
- (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print). vol. 16 (12).
- (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability. vol. 32 (1).
- (2016) Extreme Value Theory for heavy-tails in electricity prices. Journal of Energy Markets. vol. 9 (2).
- (2015) Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks (ANN). Applied Energy. vol. 162 (218).
- (2015) A spot-forward model for electricity prices with regime shifts. Energy Economics. vol. 47.
- (2015) Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. Economic Modelling. vol. 50.
- (2014) Joint dynamics of European and American oil prices. Palgrave Macmillan. 2014. ISBN 978-1-137-37734-0.
- (2014) Medium-term planning for thermal electricity production. OR spectrum. vol. 36 (3).
- (2014) The impact of renewable energies on EEX day-ahead electricity prices. Energy Policy. vol. 73.
- (2014) Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. 2014. ISBN 978-3-319-20429-1. Computational Management Science (682).
- (2013) Investors` behavior under changing market volatility. Journal of Investing. vol. 1 (23).
- (2013) Adjustment policy of deposit rates in the case of Swiss non-maturing savings accounts. Journal of Applied Finance and Banking. vol. 3 (2).
- (2013) Price dynamics in electricity markets. Handbook of Risk Management in Energy Production and Trading.
- (2013) Optimizing risk and return of non-maturing products by dynamic replication. The Handbook of Asset and Liability Management in Banking.
- (2012) Modeling non-maturing savings volumes. Economics & Finance Review. vol. 05/2012 (2).
- (2011) Modeling client rates and volumes of the non-maturing savings accounts. 2011. ISBN 978-3-258-07706-2.