Hedging electricity swaptions using partial integro-differential equations

DOI10.1016/j.spa.2011.09.005zbMath1236.60066OpenAlexW2070818296MaRDI QIDQ665443

Peter Hepperger

Publication date: 5 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.09.005

zbMATH Keywords

infinite-dimensional stochastic analysispartial integro-differential equationswaptionsHilbert space valued jump-diffusionquadratic hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Related Items (7)

Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ Numerical solution of partial integro-differential equations by using projection method ⋮ AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS ⋮ Unnamed Item ⋮ Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels ⋮ NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION ⋮ The solution of the nonlinear mixed partial integro-differential equation via two-dimensional hybrid functions

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