HEDGING WITH ENERGY

DOI10.1111/J.1467-9965.2006.00280.XzbMATH Open1133.91414OpenAlexW2071153330MaRDI QIDQ5455260FDOQ5455260

Authors: Francesco Corielli 

Publication date: 3 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00280.x

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Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Reaction-diffusion equations (35K57)

Cites Work

• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
• Title not available (Why is that?)
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• Robustness of the Black and Scholes Formula
• Towards a theory of volatility trading
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Residual risks and hedging strategies in Markovian markets

Cited In (2)

• On calendar energy options
• Applying hedging strategies to estimate model risk and provision calculation

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