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Electricity load pattern hedging with static forward strategies
16 references·2 citing·41 second hop
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References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
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  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited
  • 2010Journal of Economic Surveys407 cited
  • 1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income277 cited
  • 1998Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates247 cited

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  • 1992Mean-Variance Hedging for General Claims246 cited
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    • 2010Mean–Variance Hedging40 cited
    • 2013Selective hedging in hydro-based electricity companies30 cited