1 citations · 1 across the 3 of their papers we have counts for
3 papers
eess.SY2025
Gas Fire Power Plant Management Through Numerical Approximation of Spark Spread Options
Babacar Seck, Anas Abdullah
Cross-commodity valuation approaches to value gas fire power plants are well studied in the literature. Hence, the value of the gas fire power plant is identical to the value of a…
q-fin.RM2021
Regime Switching Entropic Risk Measures on Crude Oil Pricing
Babacar Seck, Robert J. Elliott
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is in…
q-fin.RM2009★ 1 cited
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Laetitia Andrieu, Michel De Lara, Babacar Seck
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call t…