power purchase agreements 1price-volume covariance 1renewable energy finance 1semi-static hedging 1stochastic modeling 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.MF2026
Pricing and Semi-static Hedging of Green Pay-as-produced Power Purchase Agreements
Konstantinos Chatziandreou, Sven Karbach
The paper proposes a semi‑static hedging framework for green pay‑as‑produced power purchase agreements, combining dynamic futures trading with a static portfolio of renewable‑linke…
q-fin.MF2026
Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
Konstantinos Chatziandreou, Sven Karbach
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dyn…
q-fin.TR2025
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Konstantinos Chatziandreou, Sven Karbach
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electr…