In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
Surging availability of data lets firms with best market insight gain an edge
Developer gained clients despite cutbacks in IT spending by energy firms
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
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Making the right decisions requires an enterprise-wide view of risk, authors argue
Asset-based trading seen as crucial in environment of lower oil prices
Liquidity plays a vastly underappreciated role in commodity markets
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing…
EEG direct marketing push seen as good for power market
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…
A shake up at the top is marking a new direction for the company
Options for collateral options
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
The head of risk at Spanish utility company Endesa speaks to Lianna Brinded about the co-ordination of optimisation and hedging of power generation assets.
End-users’ energy and commodities hedging strategies are growing in sophistication as they adopt more complex products and non-traditional tools, says the head of RWE npower’s optimisation desk
Bernard Madoff was sentenced to 150 years in prison in the Manhattan federal court yesterday.
Optimal Investment Services, the Switzerland-based asset management arm of Banco Santander, has agreed to pay $235 million to the trustee responsible for liquidating Bernard Madoff's investment management firm, Bernard Madoff Investment Securities (BMIS).