Hedging electricity swaptions using partial integro-differential equations (Q665443): Difference between revisions

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Latest revision as of 22:48, 4 July 2024

scientific article
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Hedging electricity swaptions using partial integro-differential equations
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    Hedging electricity swaptions using partial integro-differential equations (English)
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    5 March 2012
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    swaptions
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    quadratic hedging
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    Hilbert space valued jump-diffusion
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    infinite-dimensional stochastic analysis
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    partial integro-differential equation
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