2 papers
q-fin.CP2021
A deep learning model for gas storage optimization
Nicolas Curin, Michael Kettler, Xi Kleisinger-Yu +4
To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. In this article, we utilize tec…
q-fin.MF2019
A multi-factor polynomial framework for long-term electricity forwards with delivery period
Xi Kleisinger-Yu, Vlatka Komaric, Martin Larsson +1
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of fo…