Gas storage hedging
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Publication:2917445
DOI10.1007/978-3-642-25746-9_14zbMATH Open1247.91203OpenAlexW65048577MaRDI QIDQ2917445FDOQ2917445
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
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Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)
Cites Work
- Title not available (Why is that?)
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- Modelling Hydro Reservoir Operation in a Deregulated Electricity Market
- Valuation of energy storage: an optimal switching approach
- When are swing options bang-bang?
- Valuation of Commodity-Based Swing Options
- Numerical methods for the pricing of swing options: a stochastic control approach
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Asymptotic properties of Monte Carlo estimators of derivatives
Cited In (14)
- 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
- Utility indifference pricing and hedging for structured contracts in energy markets
- Estimating fast mean-reverting jumps in electricity market models
- Statistical learning for probability-constrained stochastic optimal control
- On conditional cuts for stochastic dual dynamic programming
- A stochastic optimal stopping model for storable commodity prices
- Pricing and risk of swing contracts in natural gas markets
- Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
- Hedging strategies in commodity markets -- rolling intrinsic and delta hedging for virtual power plants
- A deep learning model for gas storage optimization
- A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
- HEDGING WITH ENERGY
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
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