Hedging electricity swaptions using partial integro-differential equations (Q665443)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging electricity swaptions using partial integro-differential equations |
scientific article |
Statements
Hedging electricity swaptions using partial integro-differential equations (English)
0 references
5 March 2012
0 references
swaptions
0 references
quadratic hedging
0 references
Hilbert space valued jump-diffusion
0 references
infinite-dimensional stochastic analysis
0 references
partial integro-differential equation
0 references
0 references
