Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Vadillo, Nerea"'
Autor:
Alfonsi, Aurélien, Vadillo, Nerea
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have gained on popularity as they enable to hedge against both volumetric a
Externí odkaz:
http://arxiv.org/abs/2310.07692
Autor:
Alfonsi, Aurélien, Vadillo, Nerea
This paper develops a new stochastic volatility model for the temperature that is a natural extension of the Ornstein-Uhlenbeck model proposed by Benth and Benth (2007). This model allows to be more conservative regarding extreme events while keeping
Externí odkaz:
http://arxiv.org/abs/2209.05918
Autor:
Alfonsi, Aurélien, Vadillo, Nerea
Publikováno v:
IMA Journal of Management Mathematics; Oct2024, Vol. 35 Issue 4, p737-785, 49p
Autor:
Alfonsi, Aurélien1,2 (AUTHOR) aurelien.alfonsi@enpc.fr, Vadillo, Nerea1,2,3 (AUTHOR)
Publikováno v:
Applied Mathematical Finance. May2024, p1-38. 38p. 19 Illustrations, 9 Charts.