Titlebook: Commodities, Energy and Environmental Finance; René Aïd,Michael Ludkovski,Ronnie Sircar Book 2015 Springer Science+Business Media New York

感激小女

Ali Akbar Tajmazinani,Zahra Mahdavi Mazinaniwances on an auction carbon market. The producers’ strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a clear Nash equilibrium on the power market that can be used to compute equilibrium prices on both markets as well as the related electricity produced and CO. emissions released.

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胰岛素

刻苦读书

Financialization of the Commodities Markets: A Non-technical Introductiondation duality and the notion of rolling yield as it pertains to trading through commodity indexes; (b) to use principal component analysis and the computation of equity and commodity “betas” to provide empirical evidence of the dramatic changes which occurred in the mid-2000s; (c) finally, to revie

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致命

哑剧

Cross-Commodity Modelling by Multivariate Ambit Fieldseld can be used to describe complex dependencies between commodities while staying in a tractable multivariate martingale framework. Moreover, we study in detail how spread options can be priced in our new ambit framework. Here we consider both calendar spreads written on one commodity as well as sp

灰姑娘

Hedging Expected Losses on Derivatives in Electricity Futures Marketso use a cross hedging strategy based on the Futures contract covering the larger delivery period. For that purpose we formulate the pricing problem in a stochastic target form along the lines of Bouchard et al. (SIAM J. Control Optim. 48:3123–3150, 2009), with a moment loss function. Following the s

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