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Electricity price forecasting has been a topic of significant interest since the deregulation of electricity markets worldwide. The New Zealand electricity market is run primarily on renewable fuels, and so weather metrics have a significant impact on electricity price and volatility. In this...
Persistent link: https://www.econbiz.de/10015408219
Electricity price forecasting has been a topic of significant interest since the deregulation of electricity markets worldwide. The New Zealand electricity market is run primarily on renewable fuels, and so weather metrics have a significant impact on electricity price and volatility. In this...
Persistent link: https://www.econbiz.de/10014354157
This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit...
Persistent link: https://www.econbiz.de/10012912416
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...
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