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The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the...
Persistent link: https://www.econbiz.de/10009279048
In this paper, Lp convergence and almost sure convergence of the Milstein approximation of a partial differential equation of advection–diffusion type driven by a multiplicative continuous martingale is proven. The (semidiscrete) approximation in space is a projection onto a finite dimensional...
Persistent link: https://www.econbiz.de/10010636528
Persistent link: https://www.econbiz.de/10008878462
Persistent link: https://www.econbiz.de/10009155488
WinBUGS is a program for Bayesian model fitting by Gibbs sampling. WinBUGS has limited facilities for data handling, whereas Stata has excellent data handling but no routines for Bayesian analysis; therefore, much can be gained by running Stata and WinBUGS together. This talk explains the use of...
Persistent link: https://www.econbiz.de/10005102767
WinBUGS is a program for Bayesian model fitting by Gibbs sampling. WinBUGS has limited facilities for data handling, whereas Stata has no routines for Bayesian analysis; therefore, much can be gained by running Stata and WinBUGS together. We present a set of ado-files that enable data to be...
Persistent link: https://www.econbiz.de/10005748344
This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can invest both in low-emitting production technologies and trade permits. In the model, technology adoption and...
Persistent link: https://www.econbiz.de/10009440029
This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can invest both in low-emitting production technologies and trade permits. In the model, technology adoption and...
Persistent link: https://www.econbiz.de/10010274912
This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can both invest in low-emitting production technologies and trade permits. In the model, technology adoption and...
Persistent link: https://www.econbiz.de/10010281524
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. In contrast with the principal-agent models that are extended within, here...
Persistent link: https://www.econbiz.de/10010281584