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Decarbonization of financial markets: a mean-field game approach
We then present a convergent numerical algorithm for computing this equilibrium and illustrate the impact of climate transition risk and the presence of green-minded investors on the market decarbonization dynamics and share prices.
Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries
The standard Hotelling model assumes that the stock of an exhaustible resource is known.
Decision making with dynamic probabilistic forecasts
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable.
Hedging under rough volatility
In this chapter we first briefly review the existing approaches to hedging in rough volatility models.
Price formation and optimal trading in intraday electricity markets with a major player
We study price formation in intraday electricity markets in the presence of intermittent renewable generation.
Price formation and optimal trading in intraday electricity markets
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation.
Volatility options in rough volatility models
We discuss the pricing and hedging of volatility options in some rough volatility models.
