英文标题：
《Hedging Expected Losses on Derivatives in Electricity Futures Markets》
---
作者：
Adrien Nguyen Huu (FiME Lab, IMPA), Nadia Oudjane (FiME Lab)
---
最新提交年份：
2014
---
英文摘要：
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery period. A quick overview of market data shows a basis risk for this market incompleteness. For that purpose we formulate the pricing problem in a stochastic target form along the lines of Bouchard and al. (2008), with a moment loss function. Following the same techniques as in the latter, we avoid to demonstrate the uniqueness of the value function by comparison arguments and explore convex duality methods to provide a semi-explicit solution to the problem. We then propose numerical results to support the new hedging strategy and compare our method to the Black-Scholes naive approach.
---
中文摘要：
我们研究了当标的资产不可用时，电力期货合约的定价和套期保值衍生品的问题。我们建议使用基于涵盖更大交割期的期货合约的交叉对冲策略。对市场数据的快速概述显示了这种市场不完整性的基本风险。为此，我们按照Bouchard和al.（2008）的思路，用矩损失函数，以随机目标形式来描述定价问题。遵循与后一种方法相同的技术，我们避免通过比较参数来证明值函数的唯一性，并探索凸对偶方法来提供问题的半显式解。然后，我们提出数值结果来支持新的套期保值策略，并将我们的方法与Black-Scholes朴素方法进行比较。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--

---
PDF下载：
-->