2 papers
stat.AP2025
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Abel Azze, Guglielmo D'Amico, Bernardo D'Auria +1
We propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages…
q-fin.MF2019
Insider information and its relation with the arbitrage condition and the utility maximization problem
Bernardo D'Auria, José Antonio Salmerón
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presen…