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2 Result(s)
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Chapter and Conference Paper
Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
To price options on emission certificates reduced-form models have proved to be useful. We empirically analyse the performance of the model proposed in Carmona and Hinz [2] and Hinz [8]. As we find evidence for a...
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Chapter and Conference Paper
Intraday Renewable Electricity Trading: Advanced Modeling and Optimal Control
This paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows us to incorporate market data e.g. for half-spread ...
