Department of Mathematics
stochastic optimal control, electricity interconnector, co-integration, cross-border price impact, electricity network
default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
default, additive processes, logarithmic utility, consumption, terminal wealth, contagion, portfolio optimization, growth-optimal portfolio, HJB, linear programming, verification theorem
exponential Ornstein-Uhlenbeck model, drawdown, timing, mean-reverting process.
EU ETS, real options, carbon trading
reliability options; electricity markets; investment analysis; real options
pricing; reliability option; option value; electricity markets
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3836018.pdf
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day-ahead electricity market; functional data analysis; radial basis function; electricity supply and demand curves; electricity price forecasting.
File name: SSRN-id3084659.pdf
intraday (ID) electricity market, utility maximization, Hamilton–Jacobi–Bellman (HJB) equation, unevenly spaced observations, maximum likelihood (ML) estimation, bootstrap bias correction
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ecno.pdf
stochastic volatility, superreplication, stochastic optimal control, Hamilton-Jacobi-Bellman
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