LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS

DOI10.1142/S0219024918500280zbMath1395.91434arXiv1705.06918MaRDI QIDQ4571703

Panagiotis Christodoulou, Thilo Meyer-Brandis, Nils Detering

Publication date: 29 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.06918

zbMATH Keywords

energy marketslocal risk-minimizationquadratic hedgingmultiple assetsliquidity cost

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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