39 citations · 62 across the 18 of their papers we have counts for
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q-fin.MF2014
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…
math.PR2014★ 4 cited
Change of numeraire in the two-marginals martingale transport problem
Luciano Campi, Ismail Laachir, Claude Martini
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…