Quantitative Energy Finance (PDF)

Director of Quantitative Research and Risk Analytics at Platts, and Professor of Financial Mathematics and Risk Management as well as Executive Director of the Center for Quantitative Risk Analysis at Middle Tennessee State University. He has authored or co-authored four books, three book chapters, and over a hundred research papers in finance, mathematics, physics and engineering, and has published in journals such as the Journal of Derivatives Use, Trading and Regulation, Energy Power and Risk Management Magazine, Journal of Mathematical Physics, European Physical Journal, Journal of Nonlinear Analysis, Journal of Engineering Mathematics, Journal of Integral Equations and Applications, Journal of the Dynamics of Continuous, Discrete and Impulsive Systems and Journal of Bioelectrochemistry and Bioenergetics. He was an invited speaker at numerous international and national conferences both for the industry practitioners and academic researchers. He is a member of the editorial boards of the Journal of Energy Markets, Russian Journal of Risk Management, Journal of Nonlinear Analysis, and Journal of Mathematics in Engineering, Science and Aerospace. He is a recipient of the 15th Anniversary Outstanding Contribution to Energy Risk Award and the Pioneer Quant Honor by the Energy Risk Magazine. He holds a Ph.D. in Applied Mathematics from Moscow Institute of Electronics and Mathematics.

Peter Laurence is an associate Professor of Mathematics at the University of Rome, "La Sapienza" and a visiting scholar at the Courant Institute. He completed his PHD in 1981 in applied mathematics at the University of Wisconsin, Madison after undergraduate courses at the Wharton School of Finance and Commerce and the University of Pennsylvania. He has published in leading international Journals in a large spectrum of areas in applied mathematics and of partial differential equations as well as in leading Math-Finance Journals like Risk Magazine, Energy Risk, Mathematical Finance, International Journal of Theoretical and Applied Finance, Quantitative Finance, Applied Mathematical Finance, Insurance Mathematics and Economics, European Journal of Finance. He first became interested in mathematical finance in 1997 and in 1999 co-authored with Marco Avellaneda a book on option pricing Quantitative Modeling of Derivative Securities. He has taught mathematical finance at the graduate level atNewYork University's Courant Institute, Columbia University and at Universities of Rome I and II. To gain direct market experience, in 2001-2002 he was a consultant in Standard and Poor's Risk Solutions group where he specialized in Portfolio Credit Risk. His most research focus has been on pricing and hedging basket options and asymptotic methods for stochastic volatility models. This year he is co-organizing (with Rene' Aid, Fred Benth, Valery Kholodnyi and Almut Veraart) a third special year on Energy and Commodities at the Wolfgang Pauli Institute in Vienna, a unique initiative offering high level intensive mini-courses on quantitative methods in Commodity Research, held by leading experts, free of charge to participants.