Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate...

The aim of this paper is to assess theoretical consequences of restructuring electricity markets on the environment. We examine changes in potential behaviours in consumption-side as well as in supply-side. We show that restructuring and following access to competition is not neutral from an...

The purpose of this paper is to investigate the impact of production cost variability upon hedging decision when the firm is a risk minimizer agent facing both price and quantity uncertainties. We show, under a perfect flexibility assumption, that considering cost variability leads to a lower...