Liquidity risks on power exchanges: a generalized Nash equilibrium model
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Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Noncooperative games (91A10) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70) Spatial models in economics (91B72) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites work
- A Social Equilibrium Existence Theorem*
- A two stage stochastic equilibrium model for electricity markets with two way contracts
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Coherent measures of risk
- Continuous Auctions and Insider Trading
- Convex measures of risk and trading constraints
- Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
- Existence of an Equilibrium for a Competitive Economy
- Financial transmission rights in convex pool markets.
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- Generalized Nash equilibrium problems
- Generalized Nash games and quasi-variational inequalities
- scientific article; zbMATH DE number 1724294 (Why is no real title available?)
- scientific article; zbMATH DE number 439380 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Lectures on Stochastic Programming
- Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
- Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints
- Restricted generalized Nash equilibria and controlled penalty algorithm
- Stochastic modeling of electricity and related markets.
Cited in
(6)- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- scientific article; zbMATH DE number 1642352 (Why is no real title available?)
- Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
- Risk trading and endogenous probabilities in investment equilibria
- Dynamic risked equilibrium
- On the valuation of legacy power production in liberalized markets via option-pricing
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