Insights from the Energy Finance Italia 8 (EFI 8) Conference
a cura di Davide Stocco

Mar 05 2023
Insights from the Energy Finance Italia 8 (EFI 8) Conference a cura di Davide Stocco

The EFI 8 – Energy Finance and Climate Change Conference brought together experts and professionals from the energy and finance sectors to discuss the latest trends and challenges in the industry. The conference, held at Politecnico di Milano from the 8th to the 10th of February, featured a program that has explored the energy financial sector through mathematical finance models. The conference also commemorated Professor Peter Laurence for his work in quantitative finance, specifically in the energy field.

Just a few numbers: more than 100 participants during the three days of conference, coming from 34 universities and research centres, 14 countries represented, 14 leading companies in the sector involved. The event featured 46 presenters and 3 superlative keynote speeches from Clémence Alasseur, Fred Espen Benth, and Florian Ziel.

Clémence Alasseur has presented “A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings”, a work which tackles the problem of designing a reward function to a field of heterogeneous agents in order to stimulate their energy savings. In the proposed setting, the agents compete with each other through their rank within the population to obtain the best reward. She first obtains explicitly the equilibrium for the mean-field game played by the agents, and then characterizes the optimal reward in the homogeneous setting. For the general case of a heterogeneous population, she develops a numerical approach, which is then applied to the specific case study of the market of Energy Saving Certificates.

Fred Espen Benth has given a talk on “Recent advances on forward curve modeling and applications”. He presents infinite-dimensional stochastic volatility models, including leverage, and discusses the question of option pricing in this context. Neural networks in Hilbert spaces provide an attractive numerical method to price options on forward curves, where stylized structures of the curves are used as additional information in the training. Finally, he presents new limit theorems on the realized variation of forward curves, which can be used for estimation.

Florian Ziel has presented “Electricity price forecasting: Data science meets fundamental models” There are two structurally different model approaches in the literature: i) data science models, which evaluate historical price and external data, and ii) fundamental models, which model the electricity price economically using supply and demand approaches. First, he discusses advantages and disadvantages of both modeling approaches. Then, he considers several options on how to combine and intertwine the two modeling approaches to improve model performance and forecast accuracy. This talk has shown how data scientists should learn from fundamental modelers and vice versa.

The conference also featured a Best Paper Award, which was won by Alexander Blasberg for his paper, “Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS.” The paper explored the exposure to carbon risk through CDS, offering valuable insights for investors and finance professionals. The paper is coauthored by Luca Taschini and Kiesel Rudiger.

The conference has also dedicated some sessions to ESG and climate change research. This research highlighted the importance of sustainable finance and innovative models to support the growth of renewable energy.

The EFI 8 Conference has provided a platform for experts and professionals to exchange ideas and insights on the latest trends and challenges facing the industry. As the world continues to face the challenges of climate change and the energy transition, conferences like this are crucial in shaping the future of energy finance.



Slide of the presentations:


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