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Document type:
Zeitschriftenaufsatz 
Author(s):
Hepperger, P. 
Title:
Hedging electricity swaptions using partial integro-differential equations 
Abstract:
The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We consider a general class of Hilbert space valued exponential jump-diffusion models. Since the forward curve is an infinite-dimensional object, but only a finite set of traded contracts is available f...    »
 
Journal title:
Stochastic Processes and their Applications 
Year:
2012 
Journal volume:
122 
Quarter:
1. Quartal 
Month:
Feb 
Journal issue:
Pages contribution:
600-622 
Reviewed:
ja 
Language:
en 
Semester:
SS 12 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text