Valuation of energy storage: an optimal switching approach
Year of publication: |
2010
|
---|---|
Authors: | Carmona, Rene ; Ludkovski, Michael |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 4, p. 359-374
|
Publisher: |
Taylor & Francis Journals |
Subject: | Continuous time finance | American style derivative securities | Commodity markets | Control of stochastic systems |
-
Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise
Marinelli, Carlo, (2010)
-
Utility valuation of multi-name credit derivatives and application to CDOs
Sircar, Ronnie, (2010)
-
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
Ametrano, Ferdinando, (2011)
- More ...
-
Pricing Asset Scheduling Flexibility using Optimal Switching
Carmona, Rene, (2008)
-
Pricing Asset Scheduling Flexibility using Optimal Switching
Carmona, Rene, (2008)
-
Pricing Asset Scheduling Flexibility using Optimal Switching
Carmona, Rene, (2008)
- More ...