Quanto options
A new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity price–volume quanto contracts
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
Stochastic modeling of photovoltaic power generation and electricity prices
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Trade of the month: Emerging markets underlyings
Trade of the month: Emerging markets underlyings
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap