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Piergiacomo Sabino, joint work with Tommaso Pellegrino

Enhancing Least Squares Monte Carlo with Diffusion Bridges: an Application to Virtual Hydro Power Plants. All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper. Piergiacomo Sabino, joint work with Tommaso Pellegrino

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Piergiacomo Sabino, joint work with Tommaso Pellegrino

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  1. Enhancing Least Squares Monte Carlo with Diffusion Bridges: an Application to Virtual Hydro Power Plants All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper Piergiacomo Sabino, joint work with Tommaso Pellegrino E.ON Global Commodities – (CRM) Risk Methods Team October 9th, 2013

  2. Contents

  3. Original LSMC as per Longstaff-Schwartz

  4. LSMC for Energy Facilities

  5. LSMC for Energy Facilities

  6. LSMC and Path Generation

  7. Brownian Bridge Construction

  8. Brownian Bridge Construction

  9. Brownian Bridge Construction

  10. Ornstein-Uhlenbeck Bridge

  11. Time reversal Ito Diffusions vs Exact Simulation

  12. Numerical Examples: Settings

  13. A Simple American (European) Call All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper

  14. Application to VHP and Backward Recursion All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper

  15. Application to VHP and Backward Recursion All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper

  16. Application to VHP and Backward Recursion

  17. Application to VHP and Forward Recursion All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper

  18. Application to VHP and Forward Recursion

  19. Application to VPS All parameters and values here do not reflect any E.ON view and their calibration in not the focus of this paper

  20. Conclusions and Future Studies

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