Mathematical Modelling and Calibration in Commodities and Energy
IMPA, Rio de Janeiro, de 15/08 até 19/08, 2011
The increasing role of commodities and energy in the Brazilian economy is undeniable. This process became even more striking after the recent discoveries of huge oil reserves in the pre-salt layer. In particular, the state of Rio de Janeiro has the potential to become a major player in the commercialization of several commodities and sources of energy. Such modelling procedure goes hand in hand with calibration algorithms. As the corresponding markets become more competitive and the systems more complex, the need for sound mathematical and computational models in the exploration, trading, and delivery of such goods is fundamental. The management of the risk involved in such activities is one the most challenging tasks corporations will face.
As part of the cooperation program between IMPA and Petrobras and under the general umbrella of the subject of Real Options, the research group of Analysis and Mathematical Modelling in the Applied Sciences is organizing at IMPA a small workshop on the subject of Modelling and Calibration in Commodities and Energy. The objective is to gather a multidisciplinary group of researchers and practioners working in mathematical aspects of commodities and calibration.
The event we will include mini courses by renowned specialists such as Prof. Matheus Grasselli (McMaster), Prof. Yuri Lawryshyn (Toronto) and Dr. René Aïd (EDF). We will also have a number of talks on related subjects as well as contributed presentations by students and researchers.
The event will take place at IMPA during the period of August 15th through 19th from 9:30AM to 5PM. The official opening will happen on Monday the 15th at 5PM and will be followed by a cocktail.
Vinícius V. Luiz Albani (IMPA)
Non-quadratic Regularization of the Inverse Problem Associated to the Black-Scholes PDE
Edgardo Brigatti (IMPA)
Options: a general hedged monte-carlo method
René Aïd (EDF)
Matheus Grasselli (McMaster University)
Yuri Lawryshyn (Toronto)
Fernando Antonio L. Aiube (Petrobras Financial Planning an Risk Management)
Jit Seng Chen (University of Waterloo)
Luiz E. Brandão (PUC-RJ)
Claudia Sagastizábal (Centro de Pesquisas de Energia Elétrica)
Robust management and pricing of LNGcontracts with cancellation options
Max O. de Souza (UFF)
Picture of the Group
Postal Address: Instituto Nacional de Matemática Pura e Aplicada
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil