Liquidity risks on power exchanges: a generalized Nash equilibrium model
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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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Cites work
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- 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
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- Generalized Nash equilibrium problems
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- Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
- Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints
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Cited in
(5)- Dynamic risked equilibrium
- Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- Risk trading and endogenous probabilities in investment equilibria
- scientific article; zbMATH DE number 1642352 (Why is no real title available?)
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