Gas Storage Hedging

DOI10.1007/978-3-642-25746-9_14zbMath1247.91203OpenAlexW65048577MaRDI QIDQ2917445

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

Monte Carlodynamic hedginggas storage

Mathematics Subject Classification ID

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

Related Items (11)

Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ A stochastic optimal stopping model for storable commodity prices ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ Statistical learning for probability-constrained stochastic optimal control ⋮ Regression Monte Carlo for microgrid management ⋮ A deep learning model for gas storage optimization ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.

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