Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Created claim: DBLP publication ID (P1635): journals/mmor/CallegaroCGV17, #quickstatements; #temporary_batch_1731475607626
 
(6 intermediate revisions by 6 users not shown)
Property / Wikidata QID
 
Property / Wikidata QID: Q59605739 / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2142565351 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1407.7725 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5495104 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3355178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility–indifference hedging and valuation via reaction–diffusion systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility indifference valuation for non-smooth payoffs with an application to power derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak Dynamic Programming Principle for Viscosity Solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of energy storage: an optimal switching approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5493542 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086303 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4032143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of Commodity-Based Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probability methods for approximations in stochastic control and for elliptic equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the martingale property of certain local martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization with stochastic volatilities and constraints: an application in high dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Performance of utility-based strategies for hedging basis risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to speed up the quantization tree algorithm with an application to swing options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of power plants by utility indifference and numerical computation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing early exercise contracts in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4508926 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Natural gas storage valuation and optimization: A real options application / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Portfolio in a Regime-switching Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gas Storage Hedging / rank
 
Normal rank
Property / DBLP publication ID
 
Property / DBLP publication ID: journals/mmor/CallegaroCGV17 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 06:51, 13 November 2024

scientific article
Language Label Description Also known as
English
Utility indifference pricing and hedging for structured contracts in energy markets
scientific article

    Statements

    Utility indifference pricing and hedging for structured contracts in energy markets (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    11 August 2017
    0 references
    swing contract
    0 references
    virtual storage contract
    0 references
    utility indifference pricing
    0 references
    HJB equations
    0 references
    viscosity solutions
    0 references
    minimal entropy martingale measure
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers