HEDGING WITH ENERGY

DOI10.1111/J.1467-9965.2006.00280.XMaRDI QIDQ5455260zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505982 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Residual risks and hedging strategies in Markovian markets
• Robustness of the Black and Scholes Formula
• Towards a theory of volatility trading

Cited in

(2)

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

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