Wind farm output

The problem was to devise a simulation method for the wind speeds at a set of sites, that has the correct autocorrelation, cross-correlation and distributions. The report includes one way of doing this, using a multivariate auto-regressive system, and other comments and observations that may lead to better ways of achieving the aim

Efficiency improvements for pricing American options with a stochastic mesh

estimating the price of American-style options. We focus on the stochastic mesh method originally proposed in [3]. The method’s statistical efficiency was improved by a biasreduction technique developed in [1] and [2]. We report results on the efficiency of the parallel implementation of these two algorithms on an SGI Origin 2000 computer with up to 32 processors. Our conclusion is that the algorithm gains almost linear performance improvement with respect to the number of processors engaged in computations for moderate to large mesh sizes. 1

D1.1: Representation of Risks in Online Communities

This report addresses risk representation, identification, assessment and forecasting in online communities. The goal is to set the corner stone for a framework that enables proactive management of risks and opportunities. The research results shown in this document cover risk evaluation techniques as well as risk management principles. This report is deliverable D1.1