39 citations · 62 across the 18 of their papers we have counts for
4 papers · 1 filter
An Impulse-Regime Switching Game Model of Vertical Competition
René Aïd, Luciano Campi, Liangchen Li +1
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative up…
No-Arbitrage Commodity Option Pricing with Market Manipulation
René Aïd, Giorgia Callegaro, Luciano Campi
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a repre…
On the spot-futures no-arbitrage relations in commodity markets
René Aïd, Luciano Campi, Delphine Lautier
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose…
Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro, Luciano Campi, Valeria Giusto +1
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing a…