Sökning: "stochastic price"

Visar resultat 1 - 5 av 83 avhandlingar innehållade orden stochastic price.

  1. 1. Optimal bidding of a hydropower producer insequential power markets with riskassessment : Stochastic programming approach

    Författare :Yelena Vardanyan; Mohammad Reza Hesamzadeh; Javier Contreras; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrical Engineering; Elektro- och systemteknik;

    Sammanfattning : Short-term hydropower planning and bidding under uncertainty is a complicated task. The problem became more challenging with the liberalized market environment within the last two decades. LÄS MER

  3. 2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Författare :Raul Tempone Olariaga; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

    Sammanfattning : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. LÄS MER

  4. 3. Efficient Trading in the Short-term Electricity Markets for Integration of Renewable Energy Sources : Multistage Stochastic and Agent-based Modeling Approaches for Continuous Intraday Electricity Market

    Författare :Priyanka Shinde; Mikael Amelin; Lennart Söder; Nikolaos Paterakis; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Continuous intraday electricity market; Virtual power plant; Trading strategy; Stochastic dual dynamic program; Agent-based modeling; Adaptive learning; Renewable energy sources; Cross-border intraday trading; Flow-based market coupling; Balancing market; Imbalance settlement cost; Randomized progressive hedging; Multistage stochastic programming; Energy storage; Intraday prices; Intraday price analysis; Time series analysis; Kontinuerliga intradagmarknaden; Virtuellt kraftverk; Handelsstrategi; Stokastisk dual dynamisk programmering; Agentbaserad modellering; Adaptivt l¨arande; F¨ornybara energik¨allor; Gr¨ans¨overskridande intradaghandel; Fl¨odesbaserad marknadskoppling; Balansmarknaden; Balansavr¨akningskostnader; Randomiserad progressive hedging; Stokastisk multiskedesprogrammering; Energilagring; Intradagpriser; Intradagprisanalys; Tidsserieanalys; Electrical Engineering; Elektro- och systemteknik;

    Sammanfattning : This thesis investigates the role of different short-term electricity market design aspects that can facilitate better coordination of resources within the power system. The work also emphasizes on better cross-border integration of the short-term markets to improve the market liquidity, competition, social welfare, and flexibility in the system, which is essential for facilitating the integration of renewable sources. LÄS MER

  5. 4. Weak approximation of ItÔ stochastic differential equations and related adaptive algorithms

    Författare :Raúl Tempone Olariaga; KTH; []
    Nyckelord :Adaptive methods; A posteriori error estimates; Stochastic differential equations; Monte Carlo methods; HJM model; Option price; Bond market; TECHNOLOGY; TEKNIKVETENSKAP;

    Sammanfattning : .... LÄS MER

  7. 5. Essays on stochastic volatility

    Författare :Marcus Nossman; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER