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- HENDRIK BESSEMBINDER, Douglas Cochran, Alexander Eydeland, Jean Gray
- 2002

Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage-based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk… (More)

The <italic>Constrained Matrix</italic> problem is a core problem in numerous applications in the social and economic sciences, including: the estimation of input-output tables, trade tables, and social/national accounts, the projection of migration flows over space and time, the treatment of census data, the analysis of political voting patterns, and the… (More)

In this paper we introduce a general parallelizable computational method for solving a wide spectrum of constrained matrix problems. The constrained matrix problem is a core problem in numerous applications in economics. These include the estimation of input/output tables, trade tables, and social/national accounts, and the projection of migration flows… (More)

- Anna Nagurney, Alexander Eydeland
- Transportation Science
- 1992

- VADIM LINETSKY, Jim Bodurtha, +10 authors Robert Jarrow
- 1998

Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knockout and knock-in provisions and introduce a family of path-dependent options: step options. They are parametrized by a finite knockout (knock-in) rate, ρ. For a down-and-out step option, its payoff at expiration is defined as the payoff of an… (More)

- A Eydeland, E Van Groesen
- 2001

Steady Euler flows in a periodic square that, for positive vorticity distributions, minimise the entrophy at given values of the energy and the circulations are non-confined vortices for optimal values of the circulation, and are confined vortices for certoin non-optimal values. An extension of the self-organisation principle for the ZD Navier-Stokes… (More)

- Bruce Turkington, Alexander Eydeland, Alexander Lifschitz, Joel Spruck
- 1990

- Alexander Lifschitz, Bruce Turkington, Joel Spruck, Alexander Eydeland
- 1990

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