Hedging electricity swaptions using partial integro-differential equations

DOI10.1016/J.SPA.2011.09.005MaRDI QIDQ665443zbMATH OpenOpenAlexFDO

Authors Peter Hepperger

Publication date 5 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.09.005

zbMATH Keywords

partial integro-differential equationinfinite-dimensional stochastic analysisswaptionsHilbert space valued jump-diffusionquadratic hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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Cites work

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• A two-factor model for the electricity forward market
• Dynamic programming and mean-variance hedging
• Fast deterministic pricing of options on Lévy driven assets
• Financial Modelling with Jump Processes
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• Numerical methods for Lévy processes
• On quadratic hedging in continuous time
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• Stochastic Equations in Infinite Dimensions
• Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic modeling of electricity and related markets.

Cited in

(9)

• AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS
• Low-dimensional partial integro-differential equations for high-dimensional Asian options
• The solution of the nonlinear mixed partial integro-differential equation via two-dimensional hybrid functions
• CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels
• Numerical solution of partial integro-differential equations by using projection method
• Efficient numerical schemes based on the cubic B-spline collocation method for time-fractional partial integro-differential equations of Volterra type
• Applications of the Laplace variational iteration and Laplace homotopy perturbation methods for solving fractional integro-differential equations

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