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"Weather Derivatives and Risk" Workshop

Date: 27.-28. January, 2010

Organization Committee

Santiago Moreno Institute for Mathematics, Humboldt-Universität zu Berlin
Brenda López Institute for Statistics and Econometrics, Humboldt-Universität zu Berlin
Gregor Heyne Institute for Mathematics, Humboldt-Universität zu Berlin
Wei Xu Department of Agricultural Economics, Humboldt-Universität zu Berlin
Christian Berger WIWEX.careers

The workshop "Weather Derivatives and Risk" is a joint project of C.A.S.E (Center for Applied Statistics and Economics), QPL (Quantitative Products Labratory) of Deutsche Bank and CRC 649 (Collaborative Research Center 649: Economic Risk).

The workshop's aim is to join researchers working on weather derivatives and weather-related risk as to stimulate the exchange of ideas and current achievements. A two-day workshop provides an ideal opportunity for intensive and fruitful discussions. The workshop consists of four presentations of invited speakers and ten contributed talks. Approximately half of the contributed talks will deal with the theoretical problems and the other half with the empirical applications.

For participants with no talk the participation fee is 55 EUR if paid on advance or 65 EUR if paid upon arrival. The registration form and the bank information of our co-organizer and service partner WIWEX is available here. Speakers do not need to register. Information for the online payment is available here

Click here to see the poster of the workshop.

The workshop will take place at Humboldt−Universität zu Berlin, Spandauer Str., 1, 10999 Berlin, Germany.

Additional information about travel and accomodation is available here

Schedule

Tuesday, 26 January 2010
16:00−19:00 Registration
Wednesday, 27 January 2010
11:00−13:30 Registration
13:55−14:00 Welcome
14:00−15:00

Invited Talk by

Olivier Guéant

Dauphine Université Paris

Ecological Discount Rate and Precautionary Principle

(joint work with Roger Guesnerie)

15:00−15:30

Contributed Talk by

Maximilian Wimmer

University of Regensburg

The Pricing of Temperature Futures at the Chicago Mercantile Exchange

15:30−16:00

Contributed Talk by

Andrea Barth

Centre for Mathematics and Applications, University of Oslo

Forward Dynamics in Energy Markets - an Infinite Dimensional Approach

16:00−16:30 Coffee break
16:30−17:00

Contributed Talk by

Luca Taschini

Grantham Research Institute, London School of Economics

The Endogenous Price Dynamics of Emission Permits in the Presence of Technology

17:00−18:00

Invited Talk by

Elyés Jouini

Dauphine Université Paris

Discounting and Divergence of Opinion
Thursday, 28 January 2010
9:00−10:00

Invited Talk by

Barry J. Barnett

Department of Agricultural Economics, Mississippi State University

Challenges with Developing Weather Index Insurance for Rural Areas of Lower Income Countries
10:00−10:30

Contributed Talk by

Raushan Bokusheva

Institute for Environmental Decisions, ETH Zürich

Measuring Dependence between Yield and Weather Variables

10:30−11:00

Contributed Talk by

Bart van den Boom

Centre for World Food Studies, VU University Amsterdam

Designing Index Based Safety Nets for Village Africa

(joint work with Vasco Molini)

11:00−11:30 Coffee break
11:30−12:00

Contributed Talk by

Marcel van Asseldonk

Section Risk and Information Management, Wageningen University

Weather derivatives in The Netherlands: From theory to practise?

12:00−12:30

Contributed Talk by

Thilo Meyer-Brandis

Institute for Mathematics, University of Munich

Consistent Factor Modeling of Temperature Markets

12:30-14:00 Lunch break
14:00−14:30

Contributed Talk by

Stefan Ankirchner

Institute for Applied Mathematics, University of Bonn

Hedging of Weather Risk

14:30−15:00

Contributed Talk by

Jan Gairing

Berlin Mathematical School, Humboldt Universität zu Berlin

Power Variation of Stochastic Differential Equations driven by stable noise and application to paleoclimatic modelling

15:00-15:30 Coffee break
15:30−16:00

Contributed Talk by

Johannes Krämer

Landesbank Berlin AG

Implied Risk Premia and Stock Market Reaction During the Issuances of Cat Bonds

16:00−16:30

Contributed Talk by

George Skiadopoulos

Warwick Business School - Financial Options Research Centre, University of Piraeus Greece

Modeling the Dynamics of Temperature with a View to Weather Derivatives

16:30−17:30

Invited Talk by

Fred Benth

Centre of Mathematics for Applications, University of Oslo

Modeling and Pricing of Weather Derivatives

 

CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin
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