Liquidity risks on power exchanges: a generalized Nash equilibrium model

DOI10.1007/S10107-013-0694-4zbMATH Open1279.91093OpenAlexW1971321543MaRDI QIDQ368744FDOQ368744

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

Nash equilibriumhedginglimited liquiditypower exchanges

Mathematics Subject Classification ID

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

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Cited In (4)

• Dynamic Risked Equilibrium
• Risk Trading and Endogenous Probabilities in Investment Equilibria
• Title not available (Why is that?)
• On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach

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