HAL : inria-00473032, version 2

arXiv : 1205.4089

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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Stéphane Goutte 1, Nadia Oudjane 1, 2, Francesco Russo (  Auteur à contacter de préférence ) 3, 4

(13/04/2010)

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 exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated Foellmer-Schweizer decomposition for solving the mean-variance hedging problem. In particular, we establish that decomposition explicitely, for a large class of vanilla contingent claims. Interest is devoted in the choice of rebalancing dates and its impact on the hedging error, regarding the payoff regularity and the non stationarity of the log-price process.

1 :	Laboratoire d'Analyse, Géométrie et Applications (LAGA)
	CNRS : UMR7539 – Université Paris XIII - Paris Nord – Université Paris VIII - Vincennes Saint-Denis
2 :	EDF R&D
	EDF
3 :	MATHFI (INRIA Rocquencourt)
	INRIA – Ecole des Ponts ParisTech – Université Paris XII - Paris Est Créteil Val-de-Marne
4 :	Unité de Mathématiques Appliquées (UMA)
	ENSTA ParisTech

Domaine

:

Mathématiques/Probabilités

Mots-clés : Variance-optimal hedging – Foellmer-Schweizer decomposition – Levy process – Cumulative generating function – Characteristic function – Normal Inverse Gaussian distribution – Electricity markets – Incomplete Markets – Processes with independent increments – Trading dates optimization

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Contributeur : Francesco Russo <>

Soumis le : Jeudi 17 Mai 2012, 23:28:32

Dernière modification le : Lundi 21 Mai 2012, 09:38:51