Jörg Doege

Publications:

"Valuation of Flexibility for Power Portfolios - A Dynamic Risk Engineering Approach" (2006). PhD thesis - ETH Diss. No. 16438, ETH Zürich. (Download: PDF, PS).

"Convex Risk Measures for Portfolio Optimization and Concepts of Flexibility" (2005) jointly with H.-J. Lüthi. Mathematical Programming, Series B 104(2-3):541-559. (Download: PDF, PS).

"Risk Management for Power Portfolios and Valuation of Flexibility" (2006) jointly with H.-J. Lüthi, and P. Schiltknecht. OR Spectrum (accepted for publication). (Download: PDF).

Conferences:

"Dynamic Risk and Portfolio Engineering for Utilities". Energyforum Conference "Enterprise Risk Management for Utilities", Amsterdam (The Netherlands), June 1-2 2005. (Joint work with H.-J. Lüthi)

"Dynamic Convex Risk Measures for Portfolio Optimization - An Example from the Power Market". 5. Workshop der GOR Arbeitsgruppe "Finanzwirtschaft & Finanzinstitutionen", St. Gallen, April 29-30 2005. (Joint work with H.-J. Lüthi)

"Risk Engineering for Power Portfolios - A New Approach for Asset-based Power Traders". Gas & PoweRisk 2004, Amsterdam (The Netherlands), October 26th - 28th 2004. (Joint work with H.-J. Lüthi)

"Using Financial Engineering for the Valuation of Operational Flexibility". OR2003 International Conference in Operations Research, Heidelberg (Germany), September 3rd - 5th 2003. (Joint work with Ph. Schiltknecht)

"Electricity Contract Engineering & Valuation based on Hedging Strategy". EdF R&D Conference "Energy Markets Risk Modeling and Option Pricing", Paris (France), May 20th 2003. (Joint work with H.-J. Lüthi and G. Unger)