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.
Ph.D. course "The mathematics of energy markets" - Lecture 1
Structured products in energy markets. Stochastic control in discrete time: dynamic programming principle and Bellman's equation.