英文标题：
《Variance optimal hedging with application to Electricity markets》
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作者：
Xavier Warin
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最新提交年份：
2018
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英文摘要：
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We present an algorithm to hedge a position for a mean variance criterion taking into account the transaction cost and the small depth of the market. We show its effectiveness on a typical problem coming from the field of electricity markets.
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中文摘要：
在电力市场中，流动性不足、交易成本和市场价格特征阻碍了管理者准确复制合同。剩余风险始终存在，套期保值策略取决于所选的风险标准。考虑到交易成本和较小的市场深度，我们提出了一种均值-方差准则对冲头寸的算法。我们在电力市场领域的一个典型问题上展示了它的有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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