Monday 2
location:
Scuola della Carità — via San Francesco,
61
Registration
Greetings
EFI prize 1
4 Long talks
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S. StaffolaniSustainability-Linked Bonds Pricing in a Stochastic Interest Rate FrameworkDiscussant: P. Falbo
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A. SantiniA Copula-Based Approach for the Pricing of Energy Quanto OptionsDiscussant: C. Pelizzari
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A. LipieckiStealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)Discussant: M. Bertolini
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M. RossiA stochastic model for the evolution of the day-ahead prices in gas and power marketsDiscussant: A. Awerkin
Chair:
T.Vargiolu
Lunch
Roundtable:
ENERGY STORAGE FOR ENERGY TRANSITION
4 Discussants
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CarlaMereuD-fine Srl
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SalvatoreDe CarloTerna SpA
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GervasioCiacciaARERA
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GiovanniPiccoliHERA SpA
Chair:
M.BertoliniUniversity of Padua
Coffee break
EFI prize 2
2 Long talks
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K. ChatziandreouOptimal Execution in Intraday Energy Markets under Hawkes Processes with Transient ImpactDiscussant: G. Callegaro
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D. GirolimettoCoherent forecast combination for linearly constrained energy seriesDiscussant: S. Trueck
Chair:
P.Falbo
PRACTITIONERS
4 Short talks
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M. GardiniForward spot price dependence in energy markets: investigations on a co-integrated approach
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C. KappenPricing and Hedging of Power Purchase Agreements
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L. CodazziA Heath-Jarrow-Morton framework for energy markets: review and applications for practitioners
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A. PallaviciniRough volatility dynamics in commodity markets
Chair:
A.Pallavicini
Tuesday 3
location:
Scuola della Carità — via San Francesco,
61
Long talks
3 Long talks
-
G. OrlandoRisk-Based Validation of Renewable Energy Forecasting: A Test Case for ItalyDiscussant: I. Stefani
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P. SabinoM-method Estimation of Jump-diffusion OU Processes: an Application to Energy MarketsDiscussant: G. Orlando
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I. StefaniA new model for the perceived time to transition to a low carbon economyDiscussant: P. Sabino
Chair:
I.Stefani
Coffee break
TIME-FREQUENCY
3 Short talks
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M. CarannanteExploring key drivers of electricity price persistence using a Wavelet Neural Networks approach
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I. De CrescenzoGeopolitical Risks, Critical Materials and the Energy Transition: New Evidence from Wavelet Methods
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A. MazzoccoliExtending Wavelet Energy Entropy for Improved Predictability Assessment
Chair:
A.Mazzoccoli
MODELING
5 Short talks
-
K. ChęćImproving system operator electric demand predictions for quantile and density forecasting
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F. BaschettiAn Optimal Energy Production Problem with Energy Source Switching and Load Following Nuclear Power Plants
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J. UdagampalaRelevance of the Intraday Electricity Market under Renewable Energy Penetration
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G. CortesiFueling Tech Markets: A Raw Material Network Perspective
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A. Fiori MaccioniAssessing Electricity Price Changes under Increased Renewable Supply in Day-Ahead Markets
Chair:
A.Fiori Maccioni
Lunch
PRICING
4 Long talks
-
B. UniejewskiThe role of probabilistic load and renewable prediction in enhancing day-ahead electricity price forecastsDiscussant: M. Schmeck
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A. DasAnalyzing Uncertainty Quantification in Statistical and Deep Learning Models for Probabilistic Electricity Price ForecastingDiscussant: B. Uniejewski
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C. FrauPricing Plain Vanilla Options on Henry Hub Futures: Introducing a Hump-Shaped Volatility ModelDiscussant: A. Das
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M. SchmeckEmpirical Evidence of the Market Price of Risk for Delivery PeriodsDiscussant: C. Frau
Chair:
M.Schmeck
Coffee break
EFI General Assembly
Social dinner
Wednesday 4
location:
Torre Archimede — via Trieste, 63
CLIMATE RISK
3 Long talks
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G. TassinariClimate-Induced Catastrophe Risk and Catastrophe Bond ValuationDiscussant: G. Giacchetta
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N. BartoliniUnderstanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?Discussant: G. Tassinari
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G. GiacchettaAssessing Climate Risk on the European Financial System: a Multi-Scenario AnalysisDiscussant: N. Bartolini
Chair:
G.Giacchetta
Coffee break
PRIN JET
4 Short talks
-
G. FasanoBasics on Atomic Swaps in blockchains for financial applications
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F. EhrenhoferWhen Renewables Don't Mean Cheap: a systematic review of beyond LCOE cost Indicators
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G. BongerminoMulti-criteria portfolio allocation: a probabilistic perspective
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B. SartiniSolar Energy Risks: Spatial Stochastic Radiation Modeling and Optimal Hedging Strategies
Chair:
R.Pesenti
RELIABILITY
4 Short talks
-
M. BertoliniFrom Reliability to Resilience: Cost-Benefit Analysis of Risk in Electricity Networks
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F. PetroniDynamic Reliability Indicators for Wind Farm Maintenance Optimization: A Markovian Approach
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G. D'AmicoReliability Indicators for semi-Markov models of Wind speed and power generation
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R. D'EcclesiaPublic subsidies drive the green transitions
Chair:
R.D'Ecclesia
Lunch
PRIN JET
3 Long talks
-
G. VisentinIs the energy transition impacting the Eurozone sovereign credit risk? Evidence from Machine LearningDiscussant: A. Amardana
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A. AmardanaSustainability in LSTM Price Prediction for Portfolio Optimization in the European MarketDiscussant: A. Santini
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M. NardonA swap-based framework for managing energy transition risksDiscussant: G. Visentin
Chair:
S.Romagnoli
Coffee break
Short talks
4 Short talks
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R. CastellanoFrom Micro-Foundations to Market Dynamics: A Structural Cointegration Model of Bitcoin Prices
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B. BitterlichHedging Power Purchase Agreements
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N. FilippasItalian Market Signals for Hybrid Wind-Battery Dispatch: From Price-Agnostic to Price-Driven Control
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K. StefanelliPricing the Green Energy Transition
Chair:
K.Stefanelli
PRIN JET
4 Short talks
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A. BassoHow to compare the environmental and financial efficiency of companies from multiple economic sectors?
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O. CastelloSynthetic data generation for Energy and Financial Markets: Machine Learning techniques on trial
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L. ElamSustainability Transition in Asia: Insights from Green Bond Issuances and Stock Market Reactions
-
R. PesentiResilient networks of atomic swaps
Chair:
M.Corazza
Accepted Talks
(L)
Wed 14:30
(L)
Wed 09:00
(S)
Tue 11:45
(S)
Wed 17:30
(S)
Wed 16:30
(S)
Tue 11:00
(S)
Wed 16:30
(S)
Wed 17:30
EFI
Mon 16:30
(S)
Tue 11:45
(S)
Mon 17:30
(S)
Tue 11:45
(S)
Wed 12:00
(L)
Tue 14:30
(S)
Tue 11:00
(S)
Wed 17:30
Italian Market Signals for Hybrid Wind-Battery Dispatch: From
Price-Agnostic to Price-Driven Control
(S)
Wed 16:30
(S)
Tue 11:45
(L)
Tue 14:30
(S)
Mon 17:30
(S)
Mon 17:30
EFI
Mon 10:30
(S)
Mon 17:30
(S)
Wed 17:30
(S)
Wed 12:00
(S)
Wed 11:00
(S)
Wed 16:30
(L)
Tue 14:30