EFC13 Photo: Voksenåsen Hotel

Energy Finance Christmas Workshop (EFC13)

12-13.12.2013, Oslo, Norway

The purpose of the 3rd Energy Finance Christmas Workshop (EFC13) was to stimulate international dialogue among academics, industry participants and policymakers with mutual interests in commodity markets. The mandate for the workshop was to present ongoing work within commodity economics and finance. Topics were related to econometric/statistical analysis of commodity markets, real option analysis for commodity project investment and production, pricing, hedging and risk analysis of commodity derivatives, corporate finance for commodity exposed corporations. Commodity markets in this context are energy markets (including renewables), metal markets, agricultural and fish markets, markets for weather derivatives, shipping markets and related markets.

Ole Gjolberg, Fred Espen Benth and Sjur Westgaard
EFC13 Organizers


Voksenåsen Hotel
Ullveien 4, 0791 Oslo

Invited speakers

  • Fred Espen Benth, University of Oslo, Norway
  • Olvar Bergland, Norwegian Centre for Commodity Market Analysis UMB, Norway
  • Sara Ana Solanilla Blanco, University of Oslo, Norway
  • Daumantas Bloznelis, Norwegian Centre for Commodity Market Analysis UMB, Norway
  • Derek Bunn, London Business School, UK
  • Alvaro Cartea, University College London, UK
  • Stein-Erik Fleten, NTNU, Trondheim, Norway
  • Torun Sæther Fretheim, Norwegian Centre for Commodity Market Analysis UMB, Norway
  • Stein Frydenberg, Trondheim Business School, Norway
  • Rolf Golombek, Frischsenteret, Norway
  • Verena Hagspiel, NTNU, Trondheim, Norway
  • Svenn Jensen, UC Berkeley, USA
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Nina Lange, Copenhagen Business School, Denmark
  • Kristin Linnerud, CICERO, Norway
  • Katarzyna Maciejowska, Wrocław University of Technology, Poland
  • Peter Molnar, NTNU, Trondheim, Norway
  • Anna Nazarova, University of Duisburg-Essen, Germany
  • Nikos Nomikos, Cass Business School, London, UK
  • Jakub Nowotarski, Wrocław University of Technology, Poland
  • Florentina Paraschiv, University of St Gallen, Switzerland
  • Marcel Prokopczuk, Zeppelin University, Friedrichshafen, Germany
  • Erik Smith-Meyer, Norwegian Centre for Commodity Market Analysis UMB, Norway
  • Per Bjarte Solibakke, Molde University College, Norway
  • Marie Steen, Norwegian Centre for Commodity Market Analysis UMB, Norway
  • Rafał Weron, Wrocław University of Technology, Poland
  • Michał Zator, Wrocław University of Technology, Poland



Thursday, 12.12.2013

08:30 Registration and refreshments

08:45 Introduction and welcome

09:00-11:00 Analysis of commodity futures markets (energy, metals, agriculturals), chair: Marcel Prokopczuk (4x30min talks)

  • Marcel Prokopczuk, The determinants of convenience yields
  • Marie Steen, Commodity correlations revisited (with Ole Gjolberg)
  • Torun Sæther Fretheim, Extreme commodity market risk: Empirical evidence on volatility 1980-2012 (with Glenn Kristiansen)
  • Peter Molnar, Modelling implied and realized volatility in the oil market (with Sjur Westgaard)

11:00-11:30 Coffee break

11:30-13:00 Renewable markets I, chair: Kristin Linnerud (3x30min talks)

  • Rolf Golombek, The impact of uncertainty on the European energy market: A scenario aggregation approach
  • Rüdiger Kiesel, Model risk for energy markets
  • Derek Bunn, A detailed risk simulation model of replacing green certificates with contracts-for-differences in the British market

13:00-14:00 Lunch

14:00-16:30 Analysis of electricity markets, chair: Rafał Weron (4x30min talks + 2x15min short talks*)

  • Katarzyna Maciejowska, Forecasting of daily electricity spot prices by incorporating intra-day relationships and fundamental variables
  • Jakub Nowotarski, Combining electricity spot price forecasts
  • Stein Erik Fleten, Is there power in derivatives?
  • Florentina Paraschiv, Spot-forward model for electricity prices
  • Michał Zator, Electricity prices detrending and deseasonalization with the Hodrick-Prescott filter* (with Rafał Weron) [Slides pdf 0.7 MB]
  • Rafał Weron, Predicting price spikes in the UK power market* (with Paweł Maryniak) [Slides pdf 2.8 MB]

16:30-17:00 Coffee break

17:00-18:00 Renewable markets II, chair: Kristin Linnerud (2x30min talks)

  • Svenn Jensen, Optimally climate sensitive policy under uncertainty and learning (with Christian Traeger)
  • Kristin Linnerud, Revision of renewable energy support schemes: How uncertainty affects investment rates? (with Trine K. Boomsma)

20:00 Conference dinner


Friday, 13.12.2013

08:30-10:30 Weather derivatives and energy markets, chair: Fred Espen Benth (4x30min talks)

  • Nina Lange, Pricing and hedging energy quantos
  • Sara Ana Solanilla Blanco, Forward prices in commodity markets as functionals of the spot path and some empirics on weather derivatives
  • Fred Espen Benth, A note on cointegration in commodity markets (with Steen Koekebakker)
  • Stein Frydenberg, Co-integration analysis of energy markets

10:20-11:00 Coffee break

11:00-12:30 Fish & shipping markets, chair: Nikos Nomikos (3x30min talks)

  • Daumantas Bloznelis, Salmon spot price volatility: Does fish size matter?
  • Nikos Nomikos, Investor sentiment for real assets: The case of dry-bulk shipping
  • Per Bjarte Solibakke, Energy and salmon spot and derivative markets

12:30-13:30 Lunch

13:30-16:00 Model uncertainty, demand modelling, electricty futures markets, chair: Alvaro Cartea (5x30min talks)

  • Erik Smith-Meyer, Shorting power futures. Profiting from a persistent bias
  • Verena Hagspiel, Production flexibility and capacity investment under demand uncertainty
  • Alvaro Cartea, Model uncertainty in commodities
  • Anna Nazarova, A new approach to storage valuation problem
  • Olvar Bergland, Model uncertainty in economic models of electricity markets with uncertain events



Voksenåsen is the hotel located on Oslo's rooftop. Miles from the noise of the city, but yet so very near. From the city centre, the Frogneseteren tram carry on driving uphill until you reach a unique hotel offering Oslo's most spectacular views. The hotel has a relaxed atmosphere and a distinctly contemporary interior help to inspire the guests. Voksenåsen have a large art collection, consisting of paintings, glass and sculptures.


Getting there

From Oslo airport take the flight train to Oslo S (19 min.). From Oslo S take the Tram to Frognerseteren and get off at Voksenkollen (30 min.), and walk to Voksenåsen Hotel (5 min). Follow signs to Voksenåsen hotel. Or, if you like, take a taxi from Oslo S directly.