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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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Recombining binomial trees and optimal control problems. An example: portfolio optimization. Optimization of a structured product: hydro storage.
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A case study: wind farm with hydropower pumped storage. Recombining binomial trees: the Cox-Ross-Rubinstein model, and computation of expectations.
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TREE IDENTIFICATION AND FOREST SURVEY courses presentation
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Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB…
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📌Climate change and the effect the radial growing on trees
🗣 Jorge Olivar
🏢 AGRESTA S. Coop – Madrid, Spain
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