Sensitivity analysis of energy contracts by stochastic programming techniques
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Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Dynamic programming in optimal control and differential games (49L20) Sensitivity analysis for optimization problems on manifolds (49Q12) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)
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Cites work
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- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Analysis of stochastic dual dynamic programming method
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Energy contracts management by stochastic programming techniques
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Foundations of quantization for probability distributions
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Introduction to Stochastic Programming
- Lectures on Stochastic Programming
- Multi-stage stochastic optimization applied to energy planning
- Numerical analysis and optimization. An introduction to mathematical modelling and numerical simulation. Translation from the French by Alan Craig.
- Numerical methods for the pricing of swing options: a stochastic control approach
- On the convergence of stochastic dual dynamic programming and related methods
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal Quantization for the Pricing of Swing Options
- Theory and practice of finite elements.
- Valuation of energy storage: an optimal switching approach
- When are swing options bang-bang?
Cited in
(9)- Sensitivity and covariance in stochastic complementarity problems with an application to north American natural gas markets
- Energy contracts management by stochastic programming techniques
- Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
- Pricing and risk of swing contracts in natural gas markets
- Duality and sensitivity analysis of multistage linear stochastic programs
- Increasing reliability of price signals in long term energy management problems
- Differentiability and regularization of parametric convex value functions in stochastic multistage optimization
- An analysis of linear regression and neural networks approximation for the pricing of swing options
- Swing option-implied volatility
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