01:21:00 duration 1 hour 21 minutes
Ph.D. course "The mathematics of energy…
Ph.D. course "The mathematics of energy markets" - Lecture 3
Recombining binomial trees and optimal control problems. An example: portfolio optimization. Optimization of a structured product: hydro storage.
01:22:15 duration 1 hour 22 minutes
Ph.D. course "The mathematics of energy markets" - Lecture 2
A case study: wind farm with hydropower pumped storage. Recombining binomial trees: the Cox-Ross-Rubinstein model, and computation of expectations.