Search for tag: "structured product"
Ph.D. course "The mathematics of energy markets" - Lecture 3Recombining binomial trees and optimal control problems. An example: portfolio optimization. Optimization of a structured product: hydro storage.
From Tiziano Vargiolu
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Ph.D. course "The mathematics of energy markets" - Lecture 1Structured products in energy markets. Stochastic control in discrete time: dynamic programming principle and Bellman's equation.
From Tiziano Vargiolu
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