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The valuation of a gas storage facility is characterized as a stochastic control problem, resulting in a Hamilton-Jacobi-Bellman (HJB) equation. In this paper, we present a semi-Lagrangian method for solving the HJB equation for a typical gas storage valuation problem. The method is able to handle a wide class of spot price models that exhibit… (More)
In this paper, we outline an impulse stochastic control formulation for pricing variable annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB) assuming the policyholder is allowed to withdraw funds continuously. We develop a single numerical scheme for solving the Hamilton-Jacobi-Bellman (HJB) variational inequality corresponding to the impulse… (More)
In this paper, we propose a one-factor regime-switching model for the risk adjusted natural gas spot price and study the implications of the model on the valuation and optimal operation of natural gas storage facilities. We calibrate the model parameters to both market futures and options on futures. Calibration results indicate that the regime-switching… (More)
In this paper, we value hydroelectric power plant cash flows under a stochastic control framework, taking into consideration the implication of operational constraints such as ramping and minimum flow rate constraints for the purpose of environmental protection. The power plant valuation problem under a ramping constraint is characterized as a bounded… (More)
Algorithms for solving linear systems of equations over the integers are designed and implemented. The implementations are based on the highly optimized and portable ATLAS/BLAS library for numerical linear algebra and the GNU Multiple Precision library (GMP) for large integer arithmetic.