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q-fin.MF2026
Forward Performance Processes under Multiple Default Risks
Wing Fung Chong, Roxana Dumitrescu, Gechun Liang +1
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forwa…
q-fin.MF2024
Price impact and long-term profitability of energy storage
Roxana Dumitrescu, Redouane Silvente, Peter Tankov
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To…