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Ph.D. course "The mathematics of energy markets" - Lecture 6

Stochastic control in continuous time. Dynamic programming and the Hamilton-Jacobi-Bellman equation. Example: gas storage. Computationally simple trees for diffusions.

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Lectures 70-71: Computationally simple trees

Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB…

From  Tiziano Vargiolu 6 plays 0