A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
From MaRDI portal
Publication:3614824
Recommendations
- Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
- Natural gas storage valuation and optimization: A real options application
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- Gas storage valuation applying numerically constructed recombining trees
Cited in
(35)- An options pricing approach to ramping rate restrictions at hydro power plants
- Utility indifference pricing and hedging for structured contracts in energy markets
- Gas storage valuation in incomplete markets
- A deep learning model for gas storage optimization
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Optimal management of pumped hydroelectric production with state constrained optimal control
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- A new mathematical model for pricing a mine extraction project
- Long-term swings and seasonality in energy markets
- Merchant commodity storage practice revisited
- Optimal control of an energy storage facility under a changing economic environment and partial information
- Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage
- Gas storage hedging
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
- Optimal trade execution: a mean quadratic variation approach
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
- Valuation of energy storage: an optimal switching approach
- Natural gas storage valuation and optimization: A real options application
- Gas storage valuation applying numerically constructed recombining trees
- A methodology to assess the economic impact of power storage technologies
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Brownian bridge with random length and pinning point for modelling of financial information
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- A wavelet collocation method for viscosity solutions to swing options in natural gas storage
- The optimal interaction between a hedge fund manager and investor
- A stochastic optimal stopping model for storable commodity prices
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Recent developments in machine learning methods for stochastic control and games
- Differential epidemic models and scenarios of restrictive measures
- Optimal dynamic commodity liquidation by joint spot and forward contracts
- A semi-Lagrangian method for solving state constraint mean field games in macroeconomics
- Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
This page was built for publication: A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3614824)