DOI10.1007/s11081-020-09581-0zbMath1482.91205arXiv2011.08620MaRDI QIDQ2069163
Juan Carlos Vera, Javier Pantoja Robayo
Publication date: 20 January 2022 Published in: Optimization and Engineering (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/2011.08620
zbMATH Keywords
risk mitigation; energy markets; static hedging; weather hedging
Mathematics Subject Classification ID
90C20: Quadratic programming
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software