Financial Modelling Workshop

University of Ulm
September 20th - September 22nd, 2005

Credit Modelling Course | Programme & Participants | Workshop Arrangements |Application Form |Home


The workshop is over!!!! The webpage will be updated with presentations and pictures during the next days. All participants will be informed via email. Thanks for coming!

Registration deadline extended. It is possible to register for the workshop until September 16.
The tentative programme has been updated.
The tentative programme is now available.
Registration for talks has been closed. The tentative programme will be on the webpage soon.
Days have been assigned to the talks of the Confirmed speakers
List of Participants has been added.

Workshop Summary

The workshop aims to discuss leading-edge research in credit and commodities (energy) modelling. The first day and half of the second will be devoted to credit derivatives while the focus of the remaining one and half days is on commodities, in particular energy risk. It is the second of a series of workshops jointly organized with the Birkbeck College, University of London (see for details on the first workshop).

Particular topics that will be discussed are

  • Credit Derivatives
  • Collaterized Debt Obligations
  • Credit Risk Portfolio Models
  • Energy Derivatives, in particular Electricity Derivatives
  • Energy Risk Management
  • Empirical Modelling of Energy Price Processes

The workshop will bring together leading international experts from both academia and practice to promote exchange of ideas and help make progress on research into current issues. There will be invited talks from practitioners as well as from academics (see List of Speakers below). In addition we encourage submissions of abstracts for papers on any topic within the overall theme of the conference to be considered as contributed talks. The timetable is shown under Programme & Participants. The complete list of talks and titles will be provided here as soon as available.

List of Invited Speakers

Bingham, Nick, University of Sheffield
Cartea, Alvaro, Birkbeck College
Eberlein, Ernst, University of Freiburg
Overbeck, Ludger, HypoVereinsbank
Roncoroni, Andrea, ESSEC
Schoutens, Wim, K.U.Leuven
Zagst, Rudi, TU München
Schindlmayr, Gero, Energie Baden-Württemberg

Additionally to the invited speakers, we post a list of participants.

Call for Papers

We encourage applications for contributed talks on any topic within the overall theme of the conference. Applicants are invited to submit title and a short abstract of a proposed talk by August 15th to

Credit Modelling Course

In addition we will have a half-day course on Monday on Credit Modelling designed for practitioners. The course will consist of four one hour sessions with topics: Corporate Bonds (Modelling Spread Curves), Credit Derivatives; CDOs, Use and Effects of Corporate Bonds in Investment Portfolios. More information can be found under Credit Modelling Course.

Organising Committee

Prof. Dr. Rüdiger Kiesel, University of Ulm
Dr. Alvaro Cartea, University of London (Birkbeck College)
Reik H. Börger, University of Ulm


Department of Financial Mathematics
University of Ulm
Helmholtzstrasse 18
89069 Ulm
phone: +49 731 5023521
fax: +49 731 5031096

Thanks to our sponsor

Credit Modelling Course | Programme & Participants | Workshop Arrangements |Application Form |Home