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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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slide1

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

a simple american european call
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

application to vhp and backward recursion
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

application to vhp and backward recursion1
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

application to vhp and forward recursion
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

application to vps
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