60 bd St Michel
Paris, 75006
France
Cerna Mines-Paristech
SSRN RANKINGS
in Total Papers Downloads
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
Climate Change, Greenhouse Gas Emissions, pension funds, project finance