NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
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Publication:4649505
DOI10.1142/S0219024912500422zbMath1262.91110MaRDI QIDQ4649505
Publication date: 22 November 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
hedgingproper orthogonal decompositionpartial integro-differential equationelectricity optionsHilbert space-valued jump-diffusion
Trade models (91B60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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Cites Work
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