Utility Indifference Hedging with Exponential Additive Processes

We determine the exponential utility indifference price and hedging strategy for contingent claims written on returns given by exponential additive processes. We proceed by linking the pricing measure to a certain second-order semi-linear Integro-PDE. As main application, we study the problem of hedging with basis risk.     

Klimaschutzpolitik in Deutschland – eine ökonomische Konsistenzanalyse der Rahmenbedingungen für den Strommarkt

In order to reduce greenhouse gas emissions stemming from the electricity sector, Germany has implemented various instruments during the last ten years. The joint effect of both these instruments and the emissions trading system of the European Union is significant over-regulation. The German support systems for renewable energy and combined heat and power as well as the electricity tax don’t have any positive effect on climate protection any more. In the case of combined heat and power the support system may even result in increases of CO₂-emissions. For efficiency reasons climate protection policy in the power sector should be limited to emissions trading.     

Warum Konjunkturprogramme?

Ohne Zusammenfassung Michael Br?uninger ist Leiter des Kompetenzbereichs Wirtschaftliche Trends am Hamburgischen WeltWirtschaftsInstitut (HWWI) und lehrt als Privatdozent an der Helmut-Schmidt-Universit?t Hamburg.