We propose new machine learning schemes for solving high-dimensional nonlinear partial
differential equations (PDEs). Relying on the classical backward stochastic differential …

We answer two policy questions:(1) what are the estimated merit-order effects of renewable
energy in the California Independent System Operator's (CAISO's) day-ahead market (DAM) …

We consider the valuation of energy storage facilities within the framework of stochastic
control. Our two main examples are natural gas dome storage and hydroelectric pumped …

We give a survey of the developments in the theory of Backward Stochastic Differential
Equations during the last 20 years, including the solutions' existence and uniqueness …

The goal of this survey is to review the major idiosyncrasies of the commodity markets and
the methods which have been proposed to handle them in spot and forward price models …

In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE)
with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded …

-1We consider the problem of optimal multiple switching in a finite horizon when the state of
the system, including the switching costs, is a general adapted stochastic process. The …

Applying a regression-based approach to a newly developed sample of over 60,000 hourly
observations for 01/01/2011–12/30/2017, we answer the question: what moves the day …

The project that led to this book started in August 2011 when Matheus Grasselli proposed
the writing of a monograph on the quantitative financial aspects of energy markets in a new …

In this paper we investigate a numerical algorithm for the pricing of swing options, relying on
the so‐called optimal quantization method. The numerical procedure is described in detail …