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07/31/2023
A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
In this paper, we propose a multidimensional statistical model of intrad...
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01/30/2020
Deep combinatorial optimisation for optimal stopping time problems and stochastic impulse control. Application to swing options pricing and fixed transaction costs options hedg
A new method for stochastic control based on neural networks and using r...
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11/28/2018