In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying \co2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost...

In this paper, we propose a general methodology to analyse model risk for discount bond options within a unified Heath, Jarrow, Morton (1992) framework. We illustrate its applicability by focusing on the hedging of discount bond options and options portfolios. We show how to decompose the...

We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon...