Gas storage hedging
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Publication:2917445
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Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- 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
- 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
(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
- Statistical learning for probability-constrained stochastic optimal control
- Estimating fast mean-reverting jumps in electricity market models
- On conditional cuts for stochastic dual dynamic programming
- Pricing and risk of swing contracts in natural gas markets
- A stochastic optimal stopping model for storable commodity prices
- 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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