Download or read book Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options written by Selvaprabu Nadarajah and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares Monte Carlo (LSM) is a state-of-the-art approximate dynamic programming approach used in financial engineering and real options to value and manage options with early or multiple exercise opportunities. It is also applicable to capacity investment and inventory/production management problems with demand/supply forecast updates arising in operations and hydropower-reservoir management. LSM has two variants, referred to as regress-now/later (LSMN/L), which compute continuation/value function approximations (C/VFAs). We provide novel numerical evidence for the relative performance of these methods applied to energy swing and storage options, two typical real options, using a common price evolution model. LSMN/L estimate C/VFAs that yield equally accurate (near optimal) and precise lower and dual (upper) bounds on the value of these real options. Estimating the LSMN/L C/VFAs and their associated lower bounds takes similar computational effort. In contrast, the estimation of a dual bound using the LSML VFA instead of the LSMN CFA takes seconds rather than minutes or hours. This finding suggests the use of LSML in lieu of LSMN when estimating dual bounds on the value of early or multiple exercise options, as well as of related capacity investment and inventory/production policies.
Download or read book Real Options In Energy And Commodity Markets written by Nicola Secomandi and published by World Scientific. This book was released on 2016-11-28 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice.This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications.The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping.The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.
Download or read book Economics of Power Systems written by Christoph Weber and published by Springer Nature. This book was released on 2022-11-14 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to manage the transition towards a sustainable future electricity system, an in-depth understanding of the key technological, economic, environmental and societal drivers for electricity markets is required. Suitable for advanced undergraduate and graduate students, this textbook provides an overview of these drivers and introduces readers to major economic models and empirical evidence for the study of electricity markets and systems. Readers will learn about electricity generation, demand, transport, and storage, as well as the fundamentals of grid and electricity markets in Europe. By introducing them to state-of-the-art models from operations research and economics, the book provides a solid basis for analytical insights and numerical modeling. Furthermore, the book discusses the policy instruments and design choices for electricity market regulation and sustainable power system development, as well as the current challenges for smart energy systems.
Download or read book Application of the Least Squares Monte Carlo Technique to the Valuation of Gas Storage Assets and Swing Options written by Jim Redington and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Library Least Squares Approach to EDXRF Elemental Analysis written by Fusheng Li and published by . This book was released on 2009-12 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Methods in Statistical Physics written by Kurt Binder and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the seven years since this volume first appeared. there has been an enormous expansion of the range of problems to which Monte Carlo computer simulation methods have been applied. This fact has already led to the addition of a companion volume ("Applications of the Monte Carlo Method in Statistical Physics", Topics in Current Physics. Vol . 36), edited in 1984, to this book. But the field continues to develop further; rapid progress is being made with respect to the implementation of Monte Carlo algorithms, the construction of special-purpose computers dedicated to exe cute Monte Carlo programs, and new methods to analyze the "data" generated by these programs. Brief descriptions of these and other developments, together with numerous addi tional references, are included in a new chapter , "Recent Trends in Monte Carlo Simulations" , which has been written for this second edition. Typographical correc tions have been made and fuller references given where appropriate, but otherwise the layout and contents of the other chapters are left unchanged. Thus this book, together with its companion volume mentioned above, gives a fairly complete and up to-date review of the field. It is hoped that the reduced price of this paperback edition will make it accessible to a wide range of scientists and students in the fields to which it is relevant: theoretical phYSics and physical chemistry , con densed-matter physics and materials science, computational physics and applied mathematics, etc.
Download or read book Enhancing Least Squares Monte Carlo with Diffusion Bridges written by Tommaso Pellegrino and published by . This book was released on 2015 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to present an efficient and easy framework for the application of the Least Squares Monte Carlo methodology to the pricing of gas or power facilities as detailed in Boogert and de Jong. As mentioned in the seminal paper by Longstaff and Schwartz, the convergence of the Least Squares Monte Carlo depends on the convergence of the optimization combined with the convergence of the pure Monte Carlo method. In the context of the energy facilities, the convergence of the algorithm is more challenging in particular for the computation of sensitivities and optimal dispatched quantities. To our knowledge, an extensive study of the convergence and hence, of the reliability of the algorithm has not been performed yet, in our opinion because of the apparent infeasibility and complexity to use a very high number of simulations. We present then an easy way to simulate random trajectories by means of diffusion bridges similar to the one proposed by Kutt and Welke that is equivalent to generate a time reversal Itō diffusion. Our approach permits to perform a backward dynamic programming strategy based on a huge number of simulations without storing the whole simulated trajectory.Generally, in the valuation of energy facilities one is also interested in the forward recursion. We then design the backward and forward recursions algorithm such that one can produce the same random trajectories by the use of multiple independent random streams without storing at intermediate time steps. Finally, we show the advantages of our methodology for the valuation of virtual hydro power plants and gas storages.
Download or read book Introducing Monte Carlo Methods with R written by Christian Robert and published by Springer Science & Business Media. This book was released on 2010 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
Download or read book The Application of Monte Carlo Methods to the Evaluation of Small Sample Properties of 3 stage Least Squares Procedure written by Jugal Kishore Sharma and published by . This book was released on 1965 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Real Option Based Appraisal of Environmental Investments An Assessment of NO Emission Control Techniques in Large Combustion Plants written by Schiel, Carmen and published by KIT Scientific Publishing. This book was released on 2019-06-27 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical study to least squares monte carlo method for pricing american options written by 黃惠君 and published by . This book was released on 2003 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Least Squares Monte Carlo GARCH Methods for American Options written by Lars Stentoft and published by . This book was released on 2004 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variable Renewable Energy and the Electricity Grid written by Jay Apt and published by Routledge. This book was released on 2014-06-13 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: The integration of renewable energy resources into the electricity grid presents an important challenge. This book provides a review and analysis of the technical and policy options available for managing variable energy resources such as wind and solar power. As well as being of value to government and industry policy-makers and planners, the volume also provides a single source for scientists and engineers of the technical knowledge gained during the 4-year RenewElec (renewable electricity) project at Carnegie Mellon University, the University of Vermont, Vermont Law School, and the Van Ness Feldman environmental law firm. The first part of the book discusses the options for large scale integration of variable electric power generation, including issues of predictability, variability, and efficiency. The second part presents the scientific findings of the project. In the final part, the authors undertake a critical review of major quantitative regional and national wind integration studies in the United States. Based on comparisons among these studies, they suggest areas where improvements in methods are warranted in future studies, areas where additional research is needed to facilitate future improvements in wind integration studies and how the research can be put into practice.
Download or read book Monte Carlo Methods written by Malvin H. Kalos and published by John Wiley & Sons. This book was released on 2008-09-26 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to Monte Carlo Methods seeks to identify and study the unifying elements that underlie their effective application. It focuses on two basic themes. The first is the importance of random walks as they occur both in natural stochastic systems and in their relationship to integral and differential equations. The second theme is that of variance reduction in general and importance sampling in particular as a technique for efficient use of the methods. Random walks are introduced with an elementary example in which the modelling of radiation transport arises directly from a schematic probabilistic description of the interaction of radiation with matter. Building on that example, the relationship between random walks and integral equations is outlined. The applicability of these ideas to other problems is shown by a clear and elementary introduction to the solution of the Schrodinger equation by random walks. The detailed discussion of variance reduction includes Monte Carlo evaluation of finite-dimensional integrals. Special attention is given to importance sampling, partly because of its intrinsic interest in quadrature, partly because of its general usefulness in the solution of integral equations. One significant feature is that Monte Carlo Methods treats the "Metropolis algorithm" in the context of sampling methods, clearly distinguishing it from importance sampling. Physicists, chemists, statisticians, mathematicians, and computer scientists will find Monte Carlo Methods a complete and stimulating introduction.
Download or read book Determination of the value of real options for monte carlo simulation whit approach for fuzzy numbers and genetic algorithms written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: As decisões econômicas de investimento, assim como as avaliaçõeseconômicas de projetos, são afetadas por incertezas econômicas, incertezastécnicas e por flexibilidades gerenciais embutidas em projetos. Flexibilidadesgerenciais dão liberdade ao gerente para tomar decisões, tais como investir, expandir, parar temporariamente ou abandonar um determinado projeto. Taisflexibilidades possuem valor e só a teoria de opções reais consegue avaliá-las. As opções reais permitem considerar, além das incertezas, a flexibilidadegerencial, tendo por objetivo maximizar o valor da oportunidade de investimento. Para se determinar o valor de uma opção real, normalmente são utilizadosmodelos de árvores binomiais, diferenças finitas ou técnicas de simulação MonteCarlo. Entretanto, os métodos tradicionais de árvores binomiais e diferençasfinitas são impraticáveis na avaliação de opções com mais de três fatores deincerteza, enquanto que a simulação Monte Carlo tem um custo computacionalmuito elevado devido ao processo iterativo da simulação estocástica naamostragem de cada variável. O objetivo deste trabalho é pesquisar uma metodologia computacionalmenteviável para determinar o valor de opções reais sob diversas incertezas técnicas ede mercado. Neste contexto, é feita uma investigação multidisciplinar (lógicafuzzy, computação evolucionária, processos estocásticos e opções reais) em buscade métodos alternativos que possam reduzir o tempo computacional e assimfacilitar as tomadas de decisão conseqüentes da simulação. Para isto, é proposta aunião de várias técnicas: Números Fuzzy para representar determinados tipos deincertezas das quais se desconhece o processo estocástico que as modela, processos estocásticos para representar as demais incertezas e a simulação MonteCarlo para obter uma boa aproximação do valor da opção real. Além disso, aplicaseum algoritmo genético em conjunto com a simulação Monte Carlo paraaproximar uma regra de decisão ótima e determinar o valor da opção real no casode se ter várias opções de investimento em um projeto. A regra ajuda na decisão entre o investimento imediato em uma das opções ou a espera por melhorescondições, as quais dependem do estado das incertezas consideradas. O modelo proposto foi avaliado em problemas de opção de expansão e deopção de investimento em informação, aplicados na área de exploração eprodução de petróleo, obtendo os mesmos resultados que as técnicasconvencionais com uma redução expressiva do custo computacional. A principal contribuição deste trabalho é a concepção de uma novametodologia para a determinação do valor de opções reais na presença deincertezas técnicas e de mercado, que oferece vantagens em relação aos métodosconvencionais. Os resultados obtidos comprovam que o uso de números fuzzy pararepresentar incertezas das quais se desconhece o processo estocástico que asmodela, reduz significativamente o tempo computacional. Além disso, ametodologia demonstra que a técnica de algoritmos genéticos é adequada paraobter uma regra de decisão ótima, com uma boa aproximação do valor da opçãoreal, quando são consideradas várias opções de investimento.
Download or read book Monte Carlo Valuation of Energy Options written by Wen-Yu Liao and published by . This book was released on 2008 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robust Monte Carlo Methods for Light Transport Simulation written by Eric Veach and published by . This book was released on 1998 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
