3 papers
q-fin.MF2026
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…
q-fin.MF2026
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…
q-fin.TR2025
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Konstantinos Chatziandreou, Sven Karbach
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electr…