Merchant Commodity Storage and Term-Structure Model Error
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DOI: 10.1287/msom.2015.0518
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Citations
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Cited by:
- Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
- Wu, Desheng & Olson, David L. & Wang, Shouyang, 2019. "Finance-operations interface mechanism and models," Omega, Elsevier, vol. 88(C), pages 1-3.
- Liao Wang & Jin Yao & Xiaowei Zhang, 2022. "How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model," Papers 2201.01026, arXiv.org, revised Jun 2023.
- Sripad K. Devalkar & Ravi Anupindi & Amitabh Sinha, 2018. "Dynamic Risk Management of Commodity Operations: Model and Analysis," Manufacturing & Service Operations Management, INFORMS, vol. 20(2), pages 317-332, May.
- James Cruise & Lisa Flatley & Richard Gibbens & Stan Zachary, 2019. "Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons," Operations Research, INFORMS, vol. 67(1), pages 1-9, January.
- Selvaprabu Nadarajah & François Margot & Nicola Secomandi, 2015. "Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage," Management Science, INFORMS, vol. 61(12), pages 3054-3076, December.
- Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.
- Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
- Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
- Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
- Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
- Canyakmaz, Caner & Özekici, Süleyman & Karaesmen, Fikri, 2024. "Risk management through financial hedging in inventory systems with stochastic price processes," International Journal of Production Economics, Elsevier, vol. 270(C).
- Yangfang (Helen) Zhou & Alan Scheller‐Wolf & Nicola Secomandi & Stephen Smith, 2019. "Managing Wind‐Based Electricity Generation in the Presence of Storage and Transmission Capacity," Production and Operations Management, Production and Operations Management Society, vol. 28(4), pages 970-989, April.
- Sel, Burakhan & Minner, Stefan, 2022. "A hedging policy for seaborne forward freight markets based on probabilistic forecasts," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 166(C).
- Christian Mandl & Selvaprabu Nadarajah & Stefan Minner & Srinagesh Gavirneni, 2022. "Data‐driven storage operations: Cross‐commodity backtest and structured policies," Production and Operations Management, Production and Operations Management Society, vol. 31(6), pages 2438-2456, June.
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Keywords
model error; commodity and energy real options; natural gas storage; futures term structures; delta hedging and mean-variance hedging;All these keywords.
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