Gas storage hedging

DOI10.1007/978-3-642-25746-9_14MaRDI QIDQ2917445zbMATH OpenOpenAlexFDO

Authors Xavier Warin

Publication date 28 September 2012

Published in Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25746-9_14

zbMATH Keywords

dynamic hedginggas storageMonte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)

Recommendations

• Natural gas storage valuation and optimization: A real options application
• Gas storage valuation applying numerically constructed recombining trees
• Hedging strategies for energy derivatives
• Hedging strategies in commodity markets -- rolling intrinsic and delta hedging for virtual power plants
• A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation

Cites work

• A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
• Applied stochastic control of jump diffusions.
• Asymptotic properties of Monte Carlo estimators of derivatives
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• Modelling Hydro Reservoir Operation in a Deregulated Electricity Market
• Multi-stage stochastic optimization applied to energy planning
• Numerical methods for the pricing of swing options: a stochastic control approach
• On some recent aspects of stochastic control and their applications
• Stochastic modeling of electricity and related markets.
• Valuation of Commodity-Based Swing Options
• Valuation of energy storage: an optimal switching approach
• Valuing American options by simulation: a simple least-squares approach
• When are swing options bang-bang?

Cited in

(15)

• Utility indifference pricing and hedging for structured contracts in energy markets
• Statistical learning for probability-constrained stochastic optimal control
• A deep learning model for gas storage optimization
• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
• Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
• On conditional cuts for stochastic dual dynamic programming
• Pricing and risk of swing contracts in natural gas markets
• Regression Monte Carlo for microgrid management
• Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
• Hedging strategies in commodity markets -- rolling intrinsic and delta hedging for virtual power plants
• Estimating fast mean-reverting jumps in electricity market models
• HEDGING WITH ENERGY
• A stochastic optimal stopping model for storable commodity prices
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
• Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis

This page was built for publication: Gas storage hedging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2917445)