Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(9)- Utility indifference pricing and hedging for structured contracts in energy markets
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Valuation of swing options under a regime-switching mean-reverting model
- Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
- An optimal trading problem in intraday electricity markets
- Basics of electricity derivative pricing in competitive markets
- Pricing electricity day-ahead cap futures with multifactor skew-t densities
- A principal-agent approach to capacity remuneration mechanisms
- Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
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