The aim of this paper is to discuss efficient algorithms for the pricing of American options by
two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the …

The project that led to this book started in August 2011 when Matheus Grasselli proposed
the writing of a monograph on the quantitative financial aspects of energy markets in a new …

The homotopy perturbation method is designed to obtain a quick and accurate solution to
the Black–Scholes equation and boundary conditions for a European option pricing …

In this article, we propose several quantization-based stratified sampling methods to reduce
the variance of a Monte Carlo simulation. Theoretical aspects of stratification lead to a strong …

We propose two parametric approaches to evaluate swing contracts with firm constraints.
Our objective is to define approximations for the optimal control, which represents the …

Vector Quantization is the name given to discretization methods based on nearest
neighbour search. It was developed in the 1950s, mostly in signal processing and …

We propose a new approach to quantize the marginals of the discrete Euler diffusion
process. The method is built recursively and involves the conditional distribution of the …

The liberalization of European natural gas markets forces market participants to base their
decisions on market prices. For owners and operators of natural gas storage facilities it is …

This paper considers the pricing of multiple exercise options in discrete time. This type of
option can be exercised up to a finite number of times over the lifetime of the contract. We …

In this paper, we propose a multidimensional statistical model of intraday electricity prices at
the scale of the trading session, which allows all products to be simulated simultaneously …