1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.PR2023★ 1 cited
The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging
Annika Kemper, Maren Diane Schmeck
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al.…
econ.GN2023
A Principal-Agent Model for Optimal Incentives in Renewable Investments
René Aïd, Annika Kemper, Nizar Touzi
We investigate the optimal regulation of energy production in alignment with the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to fos…
q-fin.PR2020
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Annika Kemper, Maren D. Schmeck, Anna Kh. Balci
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the d…