no code implementations • 22 Jan 2023 • Pierre Lavigne, Peter Tankov
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.
no code implementations • 3 Mar 2022 • Ivar Ekeland, Wolfram Schlenker, Peter Tankov, Brian Wright
The standard Hotelling model assumes that the stock of an exhaustible resource is known.
no code implementations • 30 Jun 2021 • Peter Tankov, Laura Tinsi
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.
no code implementations • 10 May 2021 • Masaaki Fukasawa, Blanka Horvath, Peter Tankov
In this chapter we first briefly review the existing approaches to hedging in rough volatility models.
no code implementations • 15 Nov 2020 • Olivier Féron, Peter Tankov, Laura Tinsi
We study price formation in intraday electricity markets in the presence of intermittent renewable generation.
no code implementations • 10 Sep 2020 • Olivier Féron, Peter Tankov, Laura Tinsi
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation.
no code implementations • 5 Feb 2018 • Blanka Horvath, Antoine Jacquier, Peter Tankov
We discuss the pricing and hedging of volatility options in some rough volatility models.