Liquidity risks on power exchanges: a generalized Nash equilibrium model

DOI10.1007/s10107-013-0694-4zbMath1279.91093OpenAlexW1971321543MaRDI QIDQ368744

Gauthier de Maere d'Aertrycke, Yves Smeers

Publication date: 23 September 2013

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-013-0694-4

zbMATH Keywords

hedgingNash equilibriumlimited liquiditypower exchanges

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic models in economics (91B70) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Auctions, bargaining, bidding and selling, and other market models (91B26) Spatial models in economics (91B72)

Related Items (3)

Risk Trading and Endogenous Probabilities in Investment Equilibria ⋮ Dynamic Risked Equilibrium ⋮ On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach

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