In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...

Due to recent technical progress, battery energy storages are becoming a viable option in the power sector. Their optimal operational management focuses on load shift and shaving of price spikes. However, this requires optimally responding to electricity demand, intermittent generation, and...