financial derivatives

A Tailored Derivative Instrument to Mitigate the Price-and-Quantity Risk faced by Wind Power Companies

  • Maria de Fatima Lacerda Barbosa
  • Alexandre Street
  • Bruno F. Santos
    • Categories Energy, Finance and Economics Tags , , , , ,

    The intermittent nature of wind generation combined with the well-known volatility of electricity spot prices expose Wind Power Companies (WPCs) committed to long-term forward contracts to the so-called price-and-quantity risk. Several instruments were designed in the past years to mitigate this risk exposure. However, most of them were mainly constructed to cope with only one … Read more

    Non-Linear Stochastic Fractional Programming Models of Financial Derivatives

  • Vincent Charles
  • D Dutta
    • Categories Finance and Economics, Stochastic Programming Tags , ,

    Non-Linear Stochastic Fractional programming models provide numerous insights into a wide variety of areas such as in financial derivatives. Portfolio optimization has been one of the important research fields in modern finance. The most important character within this optimization problem is the uncertainty of the future returns on assets. The objective of this study is … Read more