Hedging electricity swaptions using partial integro-differential equations
DOI10.1016/J.SPA.2011.09.005zbMATH Open1236.60066OpenAlexW2070818296MaRDI QIDQ665443FDOQ665443
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
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partial integro-differential equationinfinite-dimensional stochastic analysisswaptionsHilbert space valued jump-diffusionquadratic hedging
Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
Cites Work
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- Interest rate models: an infinite dimensional stochastic analysis perspective
- Stochastic modeling of electricity and related markets.
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- Mean-variance hedging for general claims
- Mean-variance hedging in continuous time
- Fast deterministic pricing of options on Lévy driven assets
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- Dynamic programming and mean-variance hedging
- On quadratic hedging in continuous time
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- A two-factor model for the electricity forward market
- Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
- Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
Cited In (9)
- Efficient numerical schemes based on the cubic B-spline collocation method for time-fractional partial integro-differential equations of Volterra type
- The solution of the nonlinear mixed partial integro-differential equation via two-dimensional hybrid functions
- Numerical solution of partial integro-differential equations by using projection method
- Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels
- CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL
- AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS
- NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
- Low-dimensional partial integro-differential equations for high-dimensional Asian options
- Title not available (Why is that?)
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