EFC14 Photo: St.Gallen-Bodensee Tourism

Energy Finance Christmas Workshop (EFC14)

11-12.12.2014, St.Gallen, Switzerland

EFC14 was the 4th event in the highly successful series of Energy Finance Christmas workshops. Set in a picturesque medieval town of St.Gallen, with the world-famous oriel windows, quaint narrow streets and the enchanting Abbey District.


Hotel Einstein
Berneggstrasse 2, 9000 St. Gallen

Press coverage

photo Photo album

Invited speakers

  • Martin Densing, Paul Scherrer Institute, Switzerland
  • Stein-Erik Fleten, NTNU, Trondheim, Norway
  • Roland Füss, University of St.Gallen, Switzerland
  • Tom Henriksen, NMBU Business School, NTNU, Norway
  • Ronald Huisman, Erasmus University Rotterdam, The Netherlands
  • Dogan Keles, Karlsruhe Institute of Technology, Germany
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Mehtap Kilic, Erasmus University Rotterdam, The Netherlands
  • Raimund Kovacevic, Vienna University of Technology, Austria
  • Michael Kustermann, University of Duisburg-Essen, Germany
  • Nina Lange, Copenhagen Business School, Denmark
  • Katarzyna Maciejowska, Wrocław University of Technology, Poland
  • Dominik Möst, TU Dresden, Germany
  • Nikos Nomikos, Cass Business School, London, UK
  • Jakub Nowotarski, Wrocław University of Technology, Poland
  • Florentina Paraschiv, University of St Gallen, Switzerland
  • Heikki Peura, London Business School, UK
  • Georg Pflug, University of Vienna, Austria
  • Stefan Trück, Macquarie University, Sydney, Australia
  • Rafał Weron, Wrocław University of Technology, Poland



Thursday, 11.12.2014

08:30 Registration and refreshments

08:45 Introduction and welcome

09:00-11:00 Pricing energy derivatives, chair: Rafał Weron (3x40min talks)

  • Rüdiger Kiesel, Information risk premia in energy markets
  • Mehtap Kilic, Time variation in European carbon cost pass-through in electricity futures prices (with Ronald Huisman)
  • Nikos Nomikos, Affine-structure models and the pricing of energy commodity derivatives (with Ioannis Kyriakou, Panos Pouliasis and Nikos Papapostolou)

11:00-11:30 Coffee break

11:30-12:50 Optimization models for hydropower, chair: Stein-Erik Fleten (2x40min talks)

  • Martin Densing, Hydropower optimization against the market: Generalizations of the newsvendor problem
  • Florentina Paraschiv, Indifference pricing of power contracts (with Raimund Kovacevic and Michael Schürle)

13:00-14:00 Lunch

14:00-16:00 Forecasting electricity prices, chair: Stefan Trück (3x40min talks)

  • Dogan Keles, Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks (ANN) (with Jonathan Scelle, Florentina Paraschiv, Wolf Fichtner)
  • Jakub Nowotarski, Combining probabilistic forecasts of electricity spot prices
  • Rafał Weron, A look into the future of electricity price forecasting (EPF) [Slides pdf 1.1 MB]

16:00-16:30 Coffee break

16:30-17:50 Electricity market interdependencies, chair: Ronald Huisman (2x40min talks)

  • Roland Füss, Electricity spot and derivatives pricing when markets are interconnected (with S. Mahringer, M. Prokopczuk)
  • Michael Kustermann, A structural model for coupled electricity markets (with Rüdiger Kiesel)

19:30 Conference dinner: Wirtschaft zur alten Post, Gallusstrasse 4, St.Gallen


Friday, 12.12.2014

09:00-11:00 Fundamental modeling of electricity prices, chair: Rüdiger Kiesel (3x40min talks)

  • Ronald Huisman, Joint modelling of spot and forward power prices: A fundamental approach (with Mehtap Kilic)
  • Katarzyna Maciejowska, Fundamental and speculative shocks, what drives electricity prices?
  • Dominik Möst, Fundamental electricity market models to derive electricity prices

11:00-11:30 Coffee break

11:30-12:50 Modeling electricity futures markets, chair: Dominik Möst (2x40min talks)

  • Heikki Peura, Strategic forward trading and technology
  • Tom Henriksen, Correlation between commodity prices and stock market segments (with Sjur Westgaard, Marie Steen, Torun Sæter, Ole Gjølberg)

13:00-14:00 Lunch

14:00-16:00 Optimization and real options, chair: Florentina Paraschiv (3x40min talks)

  • Stein-Erik Fleten, Structural estimation for switching options in peak power plants (with Erik Haugom, Alois Pichler, Carl J Ullrich)
  • Raimund Kovacevic, No-arbitrage conditions and contract pricing in a stochastic optimization framework for electricity production
  • Georg Pflug, Pricing of flexible energy contracts (with Peter Gross)

16:00-16:30 Coffee break

16:30-17:50 Modeling risk in commodity markets, chair: Georg Pflug (2x40min talks)

  • Nina Lange, Currency risk in energy markets
  • Stefan Trück, Electricity futures markets in Australia - An analysis of risk premiums during the delivery period (with Sami Aoude, Lurion De Mello)



Hotel Einstein is located in the old centre of St.Gallen, only 5 minutes away from St.Gallen Abbey district (UNESCO world heritage since 1983). The best known city landmarks are the Baroque cathedral with its twin spires and the Abbey Library with its exquisite Rococo hall. If you decide to extend your staying in St.Gallen, you can explore St Gallen Lake Constance region. It is located midst in a hilly landscape and with a panoramic backdrop of the majestic Mount Saentis and the Alpstein massif. Alternatively you could go skiing in Davos, Flims/Laax (Switzerland) or in St. Anton (Austria) which can all be reached within 1.5 h by car.


Getting there

St.Gallen can be reached by train (SBB), plane (Zürich Airport) as well as via the A1 motorway.

  • By plane: Zürich Airport is only one hour away from St.Gallen by car or train. A direct train runs from Zürich Airport to St.Gallen twice an hour.
  • By Car: St.Gallen can conveniently be reached by motorway: Zürich (1 hour), Munich (2.5 hours), Stuttgart (2.5 hours).

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