4 papers
On the Value of Energy Storage in Generation Cost Reduction
Yue Shen, Maxim Bichuch, Enrique Mallada
This work seeks to quantify the benefits of using energy storage toward the reduction of the energy generation cost of a power system. A two-fold optimization framework is provided…
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…
Robust XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by t…
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as…