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Gas Storage Hedging
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Gas Storage Hedging (2012)Gas Storage HedgingMonte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)Monte-Carlo Valuation of Amer…WHEN ARE SWING OPTIONS BANG-BANG? (2010)WHEN ARE SWING OPTIONS BANG-B…Valuation of energy storage: an optimal switching approach (2009)Valuation of energy storage: …STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Finite element valuation of swing options (2008)Finite element valuation of s…A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation (2007)A Semi-Lagrangian Approach fo…Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach (2006)Numerical Methods for the Pri…On some recent aspects of stochastic control and their applications (2005)On some recent aspects of sto…EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization (2014)Linear Multistep Schemes for BSDEs (2014)Pricing and Hedging American-Style Options with Deep Learning (2020)Investment Under Uncertainty. (1994)Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996)Controlled Markov Processes and Viscosity Solutions (2005)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Implications of a regime-switching model on natural gas storage valuation and optimal operation (2009)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)Evaluating Natural Resource Investments (1985)The Mathematics of Financial Derivatives (1995)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Optimal Inventory Policies when Purchase Price and Demand Are Stochastic (2011)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Heavy-tails and regime-switching in electricity prices (2008)A Critical Empirical Study of Three Electricity Spot Price Models (2011)Estimation methods for expected shortfall (2013)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2009Valuation of energy storage: an optimal switching approach177 cited
  • 2007A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation137 cited
  • 2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods101 cited
  • 2006Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach92 cited
  • 2005On some recent aspects of stochastic control and their applications92 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited
  • 2008Finite element valuation of swing options

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