NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
Year of publication: |
2012
|
---|---|
Authors: | HEPPERGER, PETER |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 06, p. 1250042-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Electricity options | hedging | Hilbert space-valued jump-diffusion | partial integro-differential equation | proper orthogonal decomposition |
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