1 citations · 1 across the 5 of their papers we have counts for
5 papers
rcss: Subgradient and duality approach for dynamic programming
Juri Hinz, Jeremy Yee
This short paper gives an introduction to the \emph{rcss} package. The R package \emph{rcss} provides users with a tool to approximate the value functions in the Bellman recursion…
Optimal Forward Trading and Battery Control Under Renewable Electricity Generation
Juri Hinz, Jeremy Yee
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price vol…
Commodity Resource Valuation And Extraction: A Pathwise Programming Approach
Juri Hinz, Tanya Tarnopolskaya, Jeremy Yee
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in…
On fair pricing of emission-related derivatives
Juri Hinz, Alex Novikov
Tackling climate change is at the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework for an emission trading…
Jump-diffusion modeling in emission markets
K. Borovkov, G. Decrouez, J. Hinz
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompa…