| Publication | Date of Publication | Type |
|---|
Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
Annals of Operations Research | 2020-05-11 | Paper |
An algorithmic approach to optimal asset liquidation problems
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
| Optimal Forward Trading and Battery Control Under Renewable Electricity Generation | 2017-06-11 | Paper |
Using Convex Switching Techniques for Partially Observable Decision Processes
IEEE Transactions on Automatic Control | 2017-05-03 | Paper |
Stochastic switching for partially observable dynamics and optimal asset allocation
International Journal of Control | 2017-04-21 | Paper |
Risk-averse equilibrium modeling and social optimality of cap-and-trade mechanisms
Springer Proceedings in Mathematics & Statistics | 2016-11-18 | Paper |
Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
| Commodity Resource Valuation And Extraction: A Pathwise Programming Approach | 2016-01-31 | Paper |
Optimal stochastic switching under convexity assumptions
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Risk-neutral models for emission allowance prices and option values
Management Science | 2014-01-20 | Paper |
Jump-diffusion modeling in emission markets
Stochastic Models | 2013-02-11 | Paper |
On value of flexibility in energy risk management. Concepts, models, solutions
Operations Research Proceedings 2006 | 2011-04-07 | Paper |
On fair pricing of emission-related derivatives
Bernoulli | 2011-02-28 | Paper |
Quantitative modeling of emission markets
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2011-01-10 | Paper |
Storage Costs in Commodity Option Pricing
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Market design for emission trading schemes
SIAM Review | 2010-09-06 | Paper |
Optimal stochastic control and carbon price formation
SIAM Journal on Control and Optimization | 2010-08-16 | Paper |
Risk management in power markets: the hedging value of production flexibility
European Journal of Operational Research | 2009-12-07 | Paper |
PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
International Journal of Theoretical and Applied Finance | 2008-05-14 | Paper |
Valuing virtual production capacities on flow commodities
Mathematical Methods of Operations Research | 2007-01-05 | Paper |
Equilibrium strategies in random-demand procurement auctions with sunk costs
IMA Journal of Management Mathematics | 2006-04-06 | Paper |
Pricing electricity risk by interest rate methods
Quantitative Finance | 2005-10-17 | Paper |
PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
A revenue-equivalence theorem for electricity auctions
Journal of Applied Probability | 2004-09-24 | Paper |
Optimizing a portfolio of power-producing plants
Bernoulli | 2004-06-10 | Paper |
Modelling day‐ahead electricity prices
Applied Mathematical Finance | 2004-03-21 | Paper |
A method for portfolio choice
Applied Stochastic Models in Business and Industry | 2004-03-16 | Paper |
An equilibrium model for electricity auctions
Applicationes Mathematicae | 2003-09-09 | Paper |
Optimal bid strategies for electricity auctions
Mathematical Methods of Operations Research | 2003-06-26 | Paper |
| Hypergroup actions and wavelets | 2002-07-22 | Paper |
An application of wavelet analysis to pricing and hedging derivative securities
Probability and Mathematical Statistics | 2002-02-18 | Paper |
| scientific article; zbMATH DE number 1408868 (Why is no real title available?) | 2000-03-01 | Paper |
| scientific article; zbMATH DE number 1061154 (Why is no real title available?) | 1997-09-15 | Paper |
