From the 1 of 8 linked papers with an AI index.
1 citations · 1 across the 4 of their papers we have counts for
8 papers
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…
Heat modulated affine stochastic volatility models for forward curve dynamics
Sven Karbach
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of t…
Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
Gianmarco Morbelli, Sven Karbach, Mike Derksen
We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading spee…
Hedging Maturity-Specific Risk in Forward Curve Derivatives under Stochastic Volatility
Riccardo Alberti, Sven Karbach
We study the variance-optimal hedging of European contingent claims written on forwards. We assume that the dynamics of the underlying forward curves follow a Heath--Jarrow--Morton…
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
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…