60 bd St Michel
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Dynamic Hedging, Commodities, Futures, Long-term commitment, Calibration
Dynamic Hedging, Commodities, Futures, Long-Term Commitment, Calibration
Key words: Copulas, Archimedean, Tail dependence, Pearson process, Affine processes, CIR process, multivariate Laplace transform
flexible operating strategy, trivariate model, gas, electricity, CO2, stochastic volatility, futures contracts, day ahead, two step approximation, technical optimisation, financial optimisation, technical constraints, efficiency, ramp-up
copper, LNG, JBIC, KNOC, KORES, wasting taxpayers’ money
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