2 papers
math.OC2026
An Optimal Energy Production Problem with Energy Source Switching and Load Following Nuclear Power Plants
Fabio Baschetti, Alessandro Gnoatto, Athena Picarelli
The integration of weather-dependent renewable generation increases the volatility of residual demand and raises the value of dispatchable low-carbon flexibility. This paper studie…
q-fin.CP2025
Joint deep calibration of the 4-factor PDV model
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when…