HEDGING

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Evaluation of optimization operation models for cascaded hydropower reservoirs to utilize medium range forecasting inflow被引量：11
《Science China(Technological Sciences)》2013年第10期2540-2552,共13页XU Wei PENG Yong WANG BenDe 
supported by the National Natural Science Foundation of China(Grant Nos.51379027,51109025);National Basic Research Program of China("973" project)(Grant No.2013CB036401);the Fundamental Research Funds for the Central Universities(Grant No.DUT13JS06);Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.20100041120004);the Hun River Cas-cade Hydropower Reservoirs Development Company,Ltd
This paper evaluates the performances of the models that incorporate forecasting inflow for cascaded hydropower reservoirs operation. These models are constructed separately on the concepts of explicit stochastic opti...
关键词：cascaded hydropower reservoirs forecasting inflow stochastic dynamic programming decision tree hedging rule 
Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate被引量：1
《Science China Mathematics》2011年第7期1457-1478,共22页HE JiFeng WU Lan 
supported by National Basic Research Program of China (Grant No.2007CB814905)
We focus on the asymptotic convergence behavior of the hedging errors of European stock option due to discrete hedging under stochastic interest rates. There are two kinds of BS-type discrete hedging differ in hedging...
关键词：discrete time hedging delta hedging stochastic interest rate 
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