NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION

DOI10.1142/S0219024912500422MaRDI QIDQ4649505zbMATH OpenFDO

Authors Peter Hepperger

Publication date 22 November 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

hedgingproper orthogonal decompositionpartial integro-differential equationelectricity optionsHilbert space-valued jump-diffusion

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Trade models (91B60)

Recommendations

• Hedging electricity swaptions using partial integro-differential equations
• scientific article; zbMATH DE number 1984255
• Robust Hedging of Electricity Retail Portfolios with CVaR Constraints
• Utility indifference pricing and hedging for structured contracts in energy markets
• Modelling and numerical valuation of power derivatives in energy markets
• Multidimensional Forward Contracts Under Uncertainty for Electricity Markets
• A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates
• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• Hedging quantity risks with standard power options in a competitive wholesale electricity market
• Asymptotic power utility-based pricing and hedging

Cites work

• scientific article; zbMATH DE number 3163006 (Why is no real title available?)
• A two-factor model for the electricity forward market
• Hedging electricity swaptions using partial integro-differential equations
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• Stochastic Partial Differential Equations with Levy Noise

Cited in

(3)

• Low-dimensional partial integro-differential equations for high-dimensional Asian options
• A multifactor polynomial framework for long-term electricity forwards with delivery period
• Hedging electricity swaptions using partial integro-differential equations

This page was built for publication: NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4649505)