3 citations · 5 across the 13 of their papers we have counts for
5 papers · 1 filter
Pricing and Semi-static Hedging of Green Pay-as-produced Power Purchase Agreements
Konstantinos Chatziandreou, Sven Karbach
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production. This paper develops a theoretical framework f…
Hedging Maturity-Specific Risk in Forward Curve Derivatives under Stochastic Volatility
Riccardo Alberti, Sven Karbach
We study the variance-optimal hedging of European contingent claims written on forwards. We assume that the dynamics of the underlying forward curves follow a Heath--Jarrow--Morton…
Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
Konstantinos Chatziandreou, Sven Karbach
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dyn…
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
Heat modulated affine stochastic volatility models for forward curve dynamics
Sven Karbach
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of t…