Monte Carlo methods are often applied to problems in finance especially in the area of risk calculation by the Value-atRisk (VaR) measure. Different applications of statistical resampling techniques are shown, specifically bootstrapping, to refine the computational results in different ways....

This note presents a simple, robust and computationally efficient way to calculate expectations of arbitrary future payoffs within the context of a Monte Carlo forward-induction methodology. The technique complements existing approximation techniques: while virtually all existing approximation...

The additive method for upper bounds for Bermudan options is rephrased in terms of buyer's and seller's prices. It is shown how to deduce Jamshidian's upper bound result in a simple fashion from the additive method, including the case of possibly zero final pay-off. Both methods are improved by...

We study the financial engineering aspects of operational flexibility of energy assets. The current practice relies on a representation that uses strips of European spark-spread options, ignoring the operational constraints. Instead, we propose a new approach based on a stochastic impulse...