18 citations · 35 across the 2 of their papers we have counts for
2 papers
q-fin.PR2013★ 17 cited
Gas storage valuation and hedging. A quantification of the model risk
Patrick Henaff, Ismail Laachir, Francesco Russo
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures…
math.PR2012★ 18 cited
GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization
Claudia Ceci, Alessandra Cretarola, Francesco Russo
In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and…