5 citations · 6 across the 5 of their papers we have counts for
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q-fin.PM2023★ 1 cited
Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements
Mike Ludkovski, Saad Mouti, Glen Swindle
We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores. We work in a probabilistic framework that uses a collection of…
q-fin.ST2023
Rough volatility: evidence from range volatility estimators
Saad Mouti
In Gatheral et al. 2018, first posted in 2014, volatility is characterized by fractional behavior with a Hurst exponent , challenging traditional views of volatility dynam…