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Thumbnail for entry Ph.D. course "The mathematics of energy markets" - Lecture 3

Ph.D. course "The mathematics of energy…

duration 1 hour 21 minutes

Ph.D. course "The mathematics of energy…

Ph.D. course "The mathematics of energy markets" - Lecture 3

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.

optimal control
trees
portfolio optimization
cox-ross-rubinstein model
structured product
hydropower
storage
From  Tiziano Vargiolu 6 plays 0