NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION

DOI10.1142/S0219024912500422zbMATH Open1262.91110MaRDI QIDQ4649505FDOQ4649505

Authors: Peter Hepperger 

Publication date: 22 November 2012

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

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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)

Cites Work

• Interest rate models: an infinite dimensional stochastic analysis perspective
• Stochastic Partial Differential Equations with Levy Noise
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• Title not available (Why is that?)
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• A two-factor model for the electricity forward market
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• Hedging electricity swaptions using partial integro-differential equations

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

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