Hedging Expected Losses on Derivatives in Electricity Futures Markets
Download full text from publisher
References listed on IDEAS
- Föllmer Hans & Penner Irina, 2006. "Convex risk measures and the dynamics of their penalty functions," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-36, July.
- Bruno Bouchard & Marcel Nutz, 2011. "Weak Dynamic Programming for Generalized State Constraints," Papers 1105.0745, arXiv.org, revised Oct 2012.
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
- Lindell, Andreas & Raab, Mikael, 2009. "Strips of hourly power options--Approximate hedging using average-based forward contracts," Energy Economics, Elsevier, vol. 31(3), pages 348-355, May.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Ludovic Moreau, 2011. "Stochastic target problems with controlled loss in jump diffusion models," Post-Print hal-00515522, HAL.
- Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Idris Kharroubi & Nicolas Langrené & Huyên Pham, 2013. "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization," Working Papers hal-00905899, HAL.
- Kharroubi Idris & Langrené Nicolas & Pham Huyên, 2014. "A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 145-165, June.
- Idris Kharroubi & Nicolas Langren'e & Huy^en Pham, 2013. "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization," Papers 1311.4503, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-08 (All new papers)
- NEP-ENE-2014-02-08 (Energy Economics)
- NEP-FMK-2014-02-08 (Financial Markets)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1401.8271. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .