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q-fin.PR2012
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Stéphane Goutte, Nadia Oudjane, Francesco Russo
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exp…
math.PR2012
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…