R. Aïd, L. Campi, and N. Langrené, A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES, Mathematical Finance, vol.10, issue.3, pp.387-438, 2013.
DOI : 10.1111/j.1467-9965.2011.00507.x

R. Aïd, L. Campi, N. Langrené, and H. Pham, A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension, SIAM Journal on Financial Mathematics, vol.5, issue.1, pp.191-231
DOI : 10.1137/120897298

R. Aïd, L. Campi, A. Nguyen-huu, and N. Touzi, A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES, International Journal of Theoretical and Applied Finance, vol.12, issue.07, pp.925-947, 2009.
DOI : 10.1142/S021902490900552X

S. Alanko and M. Avellaneda, Reducing variance in the numerical solution of BSDEs, Comptes Rendus Mathematique, vol.351, issue.3-4, pp.3-4135
DOI : 10.1016/j.crma.2013.02.010

M. Avellaneda, A. Levy, and A. Parás, Pricing and hedging derivative securities in markets with uncertain volatilities, Applied Mathematical Finance, vol.7, issue.2, pp.73-88, 1995.
DOI : 10.2307/2330793

V. Bally, L. Caramellino, and A. Zanette, Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach, Monte Carlo Methods and Applications, vol.11, issue.2, pp.97-133, 2005.
DOI : 10.1515/156939605777585944

URL : https://hal.archives-ouvertes.fr/inria-00071782

V. Bally and G. Pagès, Error analysis of the optimal quantization algorithm for obstacle problems. Stochastic processes and their applications, pp.1-40, 2003.
URL : https://hal.archives-ouvertes.fr/hal-00103987

V. Bally, G. Pagès, and J. Printems, A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS, Mathematical Finance, vol.26, issue.2, pp.119-168, 2005.
DOI : 10.1287/moor.

URL : https://hal.archives-ouvertes.fr/hal-00101786

G. Barles, R. Buckdahn, and E. Pardoux, Backward stochastic differential equations and integral-partial differential equations, Stochastics An International Journal of Probability and Stochastic Processes, vol.60, issue.1, pp.57-83, 1997.
DOI : 10.1080/17442509708834099

G. Barles and E. Jakobsen, Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations, Mathematics of Computation, vol.76, issue.260, pp.1861-1893, 2007.
DOI : 10.1090/S0025-5718-07-02000-5

URL : https://hal.archives-ouvertes.fr/hal-00017877

M. T. Barlow, A DIFFUSION MODEL FOR ELECTRICITY PRICES, Mathematical Finance, vol.26, issue.4, pp.287-298, 2002.
DOI : 10.2307/2329512

D. Belomestny, A. Kolodko, and J. Schoenmakers, Regression Methods for Stochastic Control Problems and Their Convergence Analysis, SIAM Journal on Control and Optimization, vol.48, issue.5, pp.3562-3588, 2010.
DOI : 10.1137/090752651

G. Benedetti and L. Campi, Utility Indifference Valuation for Non-smooth Payoffs with an Application to Power Derivatives, Applied Mathematics & Optimization, vol.15, issue.4, pp.349-389
DOI : 10.1007/s00245-015-9306-4

G. Benmenzer, E. Gobet, and C. Jérusalem, Arbitrage free cointegrated models in gas and oil future markets, p.42, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00200422

F. Benth, J. Benth, and S. Koekebakker, Stochastic Modeling of Electricity and Related Markets Advanced Series on Statistical Science and Applied Probability, pp.8-26, 2008.

F. E. Benth, L. Ekeland, R. Hauge, and B. F. Nielsen, A note on arbitrage???free pricing of forward contracts in energy markets, Applied Mathematical Finance, vol.10, issue.4, pp.325-336, 2003.
DOI : 10.1080/1350486032000160777

F. E. Benth, J. Kallsen, and T. Meyer-brandis, A Non???Gaussian Ornstein???Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing, Applied Mathematical Finance, vol.368, issue.2, pp.153-169, 2007.
DOI : 10.1111/1368-423X.00042

F. E. Benth and S. Koekebakker, Stochastic modeling of financial electricity contracts, Energy Economics, vol.30, issue.3, pp.1116-1157, 2008.
DOI : 10.1016/j.eneco.2007.06.005

F. E. Benth and L. Vos, Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets, Advances in Applied Probability, vol.27, issue.02, pp.572-594
DOI : 10.1111/j.1540-6261.1997.tb02721.x

V. I. Bogachev, Measure Theory 1, 2007.
DOI : 10.1007/978-3-540-34514-5

F. Bonnans and H. Zidani, Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation, SIAM Journal on Numerical Analysis, vol.41, issue.3, pp.1008-1021, 2003.
DOI : 10.1137/S0036142901387336

URL : https://hal.archives-ouvertes.fr/inria-00072460

A. Boogert and D. Dupont, When Supply Meets Demand: The Case of Hourly Spot Electricity Prices, IEEE Transactions on Power Systems, vol.23, issue.2, pp.389-398, 2008.
DOI : 10.1109/TPWRS.2008.920731

A. Botterud, M. Ilic, and I. Wangensteen, Optimal Investments in Power Generation Under Centralized and Decentralized Decision Making, IEEE Transactions on Power Systems, vol.20, issue.1, pp.254-263, 2005.
DOI : 10.1109/TPWRS.2004.841217

B. Bouchard and J. Chassagneux, Discrete-time approximation for continuously and discretely reflected BSDEs, Stochastic Processes and their Applications, pp.2269-2293, 2008.
DOI : 10.1016/j.spa.2007.12.007

B. Bouchard and R. Elie, Discrete-time approximation of decoupled Forward???Backward SDE with jumps, Stochastic Processes and their Applications, pp.53-75, 2008.
DOI : 10.1016/j.spa.2007.03.010

URL : https://hal.archives-ouvertes.fr/hal-00015486

DOI : 10.1111/j.1467-9965.2011.00493.x

URL : https://hal.archives-ouvertes.fr/hal-00487030

B. Bouchard and N. Touzi, Discrete-time approximation and Monte-Carlo simulation of backward stochastic dierential equations. Stochastic Processes and their Applications, pp.175-206, 2004.

B. Bouchard and X. Warin, Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods, Numerical Methods in Finance, pp.91-92, 2012.
URL : https://hal.archives-ouvertes.fr/hal-00486825

M. Burger, B. Klar, A. Müller, and G. Schindlmayr, A spot market model for pricing derivatives in electricity markets, Quantitative Finance, vol.14, issue.1, pp.109-122, 2004.
DOI : 10.1287/opre.

R. Carmona and M. Coulon, A Survey of Commodity Markets and Structural Models for Electricity Prices, Quantitative Energy Finance: Modeling, Pricing and Hedging in Energy and Commodity Markets, p.29, 2013.
DOI : 10.1007/978-1-4614-7248-3_2

R. Carmona, P. Del-moral, N. Oudjane, and P. Hu, Numerical Methods in Finance, 2012.
DOI : 10.1007/978-3-642-25746-9

URL : https://hal.archives-ouvertes.fr/hal-00641465

R. Carmona and M. Ludkovski, Pricing Asset Scheduling Flexibility using Optimal Switching, Applied Mathematical Finance, vol.14, issue.5-6, pp.405-447, 2008.
DOI : 10.1137/S036301290038111X

J. Carriere, Valuation of the early-exercise price for options using simulations and nonparametric regression, Insurance: Mathematics and Economics, vol.19, issue.1, pp.19-30, 1996.
DOI : 10.1016/S0167-6687(96)00004-2

Á. Cartea and M. Figueroa, Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality, Applied Mathematical Finance, vol.12, issue.4, pp.313-335, 2005.
DOI : 10.1287/mnsc.46.7.893.12034

Á. Cartea and P. Villaplana, Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity, Journal of Banking & Finance, vol.32, issue.12, pp.2502-2519, 2008.
DOI : 10.1016/j.jbankfin.2008.04.006

R. Chan, Y. Chen, and K. Yeung, A memory reduction method in pricing American options, Journal of Statistical Computation and Simulation, vol.74, issue.7, pp.501-511, 2004.
DOI : 10.1080/00949650310001597876

R. Chan, C. Wong, and K. Yeung, Pricing multi-asset American-style options by memory reduction Monte Carlo methods, Applied Mathematics and Computation, vol.179, issue.2, pp.535-544, 2006.
DOI : 10.1016/j.amc.2005.11.108

R. Chan and T. Wu, Abstract, East Asian Journal on Applied Mathematics, vol.1, issue.01, pp.20-34, 2011.
DOI : 10.1145/63039.63042

URL : https://hal.archives-ouvertes.fr/hal-01377942

J. Chassagneux, R. Elie, and I. Kharroubi, Discrete-time approximation of multidimensional BSDEs with oblique reflections, The Annals of Applied Probability, vol.22, issue.3, pp.971-1007
DOI : 10.1214/11-AAP771

URL : https://hal.archives-ouvertes.fr/hal-00475628

M. A. Chaudhry and S. M. Zubair, On a class of incomplete gamma functions with applications, 2002.

P. Cheridito, M. Soner, N. Touzi, and N. Victoir, Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs, Communications on Pure and Applied Mathematics, vol.1627, issue.7, pp.1081-1110, 2007.
DOI : 10.1002/cpa.20168

L. Clewlow and C. Strickland, Energy Derivatives, Lacima Group, 2000.

M. Coulon and S. Howison, Stochastic behavior of the electricity bid stack: from fundamental drivers to power prices, The Journal of Energy Markets, vol.2, issue.1, pp.29-69, 2009.
DOI : 10.21314/JEM.2009.032

M. Crandall, H. Ishii, and P. Lions, user's guide to viscosity solutions\\ of second order\\ partial differential equations, Bulletin of the American Mathematical Society, vol.27, issue.1, pp.1-67, 1992.
DOI : 10.1090/S0273-0979-1992-00266-5

A. Deaño and N. M. Temme, Analytical and numerical aspects of a generalization of the complementary error function, Applied Mathematics and Computation, vol.216, issue.12, pp.3680-3693, 2010.
DOI : 10.1016/j.amc.2010.05.025

F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer, and C. Stricker, Weighted norm inequalities and hedging in incomplete markets, Finance and Stochastics, vol.1, issue.3, pp.181-227, 1997.
DOI : 10.1007/s007800050021

S. Deng, Stochastic models of energy commodity prices and their applications: Meanreversion with jumps and spikes, 2000.

B. Asri, OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON, Stochastics and Dynamics, vol.10, issue.02, pp.231-261, 2010.
DOI : 10.1142/S0219493710002930

A. Fahim, N. Touzi, and X. Warin, A probabilistic numerical method for fully nonlinear parabolic PDEs. The Annals of Applied Probability, pp.1322-1364, 2011.
URL : https://hal.archives-ouvertes.fr/hal-00367103

M. Fischer and G. Nappo, On the moments of the modulus of continuity of Itô processes. Stochastic Analysis and Applications, pp.103-122, 2009.

W. Fleming and M. Soner, Controlled Markov Processes and Viscosity Solutions, volume 25 of Stochastic Modelling and Applied Probability, 2006.

H. Föllmer and M. Schweizer, Hedging of contingent claims under incomplete information Applied stochastic analysis Stochastics Monogr, pp.389-414, 1989.

A. Friedman, Stochastic dierential equations and applications, 1975.

N. Frikha and V. Lemaire, Joint Modelling of Gas and Electricity Spot Prices, Applied Mathematical Finance, vol.22, issue.11, pp.69-93
DOI : 10.1080/1350486X.2012.658220

URL : https://hal.archives-ouvertes.fr/hal-00421289

P. Gassiat, I. Kharroubi, and H. Pham, Time discretisation and quantization methods for optimal multiple switching problem, Stochastic Processes and their Applications, pp.2019-2052, 2012.

H. Geman and V. Nguyen, Soybean Inventory and Forward Curve Dynamics, Management Science, vol.51, issue.7, pp.1076-1091, 2005.
DOI : 10.1287/mnsc.1050.0361

E. Gobet, J. Lemor, and X. Warin, A regression-based Monte Carlo method to solve backward stochastic differential equations, The Annals of Applied Probability, vol.15, issue.3, pp.2172-2202, 2005.
DOI : 10.1214/105051605000000412

E. Gobet and P. Turkedjiev, Approximation of discrete BSDE using least-squares regression, pp.39-158, 2011.
URL : https://hal.archives-ouvertes.fr/hal-00642656

C. Gouriéroux and P. Valéry, Estimation of a Jacobi process, 2004.

N. Goutte, F. Oudjane, and . Russo, Variance optimal hedging for continuous time additive processes and applications, Stochastics An International Journal of Probability and Stochastic Processes, vol.6, issue.2, pp.147-185, 2014.
DOI : 10.1214/aop/1042644714

URL : https://hal.archives-ouvertes.fr/hal-00786177

J. Guyon and P. Henry-labordère, Uncertain volatility model: a Monte Carlo approach. The Journal of Computational Finance, pp.37-71, 2011.

S. Hamadène, Optimal switching systems of reflected BSDEs and systems of variational inequalities with interconnected obstacles, Surveys in Stochastic Processes, Series of Congress Reports, 2011.

S. Hamadène, J. Lepeltier, and Z. Wu, Infinite horizon reflected BSDEs and applications in mixed control and game problems, Probability and Mathematical Statistics, vol.19, issue.2, pp.211-234, 1999.

D. Heath, E. Platen, and M. Schweizer, A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets, Mathematical Finance, vol.11, issue.4, pp.385-413, 2001.
DOI : 10.1111/1467-9965.00122

D. Hobson, Bounds for the utility-indierence prices of non-traded assets in incomplete markets, Decisons in Economics and Finance, pp.33-52, 2005.

Y. Hu and S. Tang, Multi-dimensional BSDE with oblique reflection and optimal switching . Probability Theory and Related Fields, pp.89-121, 2010.
URL : https://hal.archives-ouvertes.fr/hal-00158569

T. Kanamura and K. Ohashi, A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation, Energy Economics, vol.29, issue.5, pp.1010-1032, 2007.
DOI : 10.1016/j.eneco.2006.05.012

I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 1991.

I. Kharroubi, N. Langrené, and H. Pham, A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Monte Carlo Methods and Applications, pp.145-165, 2014.
URL : https://hal.archives-ouvertes.fr/hal-00905899

I. Kharroubi, N. Langrené, and H. Pham, Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps, The Annals of Applied Probability, vol.25, issue.4, pp.2301-2338, 2015.
DOI : 10.1214/14-AAP1049

URL : https://hal.archives-ouvertes.fr/hal-01172286

I. Kharroubi and H. Pham, Feynman???Kac representation for Hamilton???Jacobi???Bellman IPDE, The Annals of Probability, vol.43, issue.4, pp.1823-1865, 2015.
DOI : 10.1214/14-AOP920

URL : https://hal.archives-ouvertes.fr/hal-01172290

P. Kloeden and E. Platen, Numerical Solution of Stochastic Dierential Equations, volume 23 of Stochastic Modelling and Applied Probability, pp.90-133, 1999.

M. Kohler, A Review on Regression-based Monte Carlo Methods for Pricing American Options, Recent Developments in Applied Probability and Statistics, pp.39-61, 2010.
DOI : 10.1007/978-3-7908-2598-5_2

V. Kolodnyi, Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach, Journal of Engineering Mathematics, vol.49, issue.3, pp.233-252, 2004.
DOI : 10.1023/B:ENGI.0000031203.43548.b6

D. Kroese, T. Taimre, and Z. Botev, Handbook of Monte Carlo methods, volume 706 of Wiley series in probability and statistics, pp.110-111, 2011.

N. Krylov, Approximating value functions for controlled degenerate diusion processes by using piece-wise constant policies, Electronic Journal of Probability, vol.4, issue.38, pp.1-19, 1999.

N. Krylov, On the rate of convergence of finite-dierence approximations for bellman's equations with variable coecients. Probability theory and related fields, pp.1-16, 2000.

H. Kushner and P. Dupuis, Numerical methods for stochastic control problems in continuous time, volume 24 of Stochastic Modelling and Applied Probability, 1992.

N. Langrené, W. Van-ackooij, and F. Bréant, Dynamic Constraints for Aggregated Units: Formulation and Application, IEEE Transactions on Power Systems, vol.26, issue.3, pp.1349-1356, 2011.
DOI : 10.1109/TPWRS.2010.2089539

D. Lautier and F. Raynaud, Statistical properties of derivatives: A journey in term structures. Physica A: Statistical Mechanics and its Applications, pp.2009-2019, 2011.
URL : https://hal.archives-ouvertes.fr/halshs-00640808

J. Lemor, E. Gobet, and X. Warin, Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations, Bernoulli, vol.12, issue.5, pp.889-916, 2006.
DOI : 10.3150/bj/1161614951

URL : https://hal.archives-ouvertes.fr/hal-00394976

F. Longsta and E. Schwartz, Valuing American Options by Simulation: A Simple Least-Squares Approach, Review of Financial Studies, vol.14, issue.1, pp.113-147, 2001.
DOI : 10.1093/rfs/14.1.113

M. R. Lyle and R. J. Elliott, A ???simple??? hybrid model for power derivatives, Energy Economics, vol.31, issue.5, pp.31757-767, 2009.
DOI : 10.1016/j.eneco.2009.05.007

B. A. Mamedov, Evaluation of the generalized Goodwin???Staton integral using binomial expansion theorem, Journal of Quantitative Spectroscopy and Radiative Transfer, vol.105, issue.1, pp.8-11, 2007.
DOI : 10.1016/j.jqsrt.2006.09.018

B. Mo, J. Hegge, and I. Wangensteen, Stochastic generation expansion planning by means of stochastic dynamic programming, IEEE Transactions on Power Systems, vol.6, issue.2, pp.662-668, 1991.
DOI : 10.1109/59.76710

M. Mrad, Méthodes numériques d'évaluation et de couverture des options exotiques multisous-jacents : modèles de marché et modèles à volatilité incertaine, pp.14-169, 2008.

A. , N. Huu, and N. Oudjane, Hedging expected losses on derivatives in electricity Futures markets, of Fields Institute Communications, pp.149-181
URL : https://hal.archives-ouvertes.fr/hal-00940327

J. Obermayer, An analysis of the fundamental price drivers of EU ETS carbon credits, KTH Royal Institute of Technology, 2009.

H. Pham, On quadratic hedging in continuous time, Mathematical Methods of Operations Research (ZOR), vol.51, issue.2, pp.315-339, 2000.
DOI : 10.1007/s001860050091

H. Pham, Continuous-time stochastic control and optimization with financial applications, volume 61 of Stochastic Modelling and Applied Probability, 2009.

G. Pirrong and M. Jermakyan, The price of power: The valuation of power and weather derivatives, Journal of Banking & Finance, vol.32, issue.12, pp.2520-2529, 2008.
DOI : 10.1016/j.jbankfin.2008.04.007

D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, 1991.

D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, pp.123-124, 1999.

E. Schwartz, The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, The Journal of Finance, vol.5, issue.3, pp.923-973, 1997.
DOI : 10.1111/j.1540-6261.1997.tb02721.x

M. Schweizer, A Guided Tour through Quadratic Hedging Approaches, Option Pricing, Interest Rates and Risk Management, pp.538-574, 2001.
DOI : 10.1017/CBO9780511569708.016

R. Seydel, Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diusions, Stochastic Processes and their Applications, pp.3719-3748, 2009.

D. Talay, Model Risk in Finance: Some Modeling and Numerical Analysis Issues, Mathematical Modeling and Numerical Methods in Finance, pp.3-28, 2008.
DOI : 10.1016/S1570-8659(08)00001-x

X. Tan, A splitting method for fully nonlinear degenerate parabolic PDEs, Electronic Journal of Probability, vol.18, issue.0, pp.1-24, 2013.
DOI : 10.1214/EJP.v18-1967

URL : https://hal.archives-ouvertes.fr/hal-01246999

N. Todoroviê, Bewertung Amerikanischer Optionen mit Hilfe von regressionbasierten Monte-Carlo-Verfahren, p.14, 2007.

J. Tsitsiklis and B. Van-roy, Regression methods for pricing complex American-style options, IEEE Transactions on Neural Networks, vol.12, issue.4, pp.694-703, 2001.
DOI : 10.1109/72.935083

A. Veraart and L. Veraart, Stochastic volatility and stochastic leverage, Annals of Finance, vol.100, issue.2, pp.205-233
DOI : 10.1007/s10436-010-0157-3

V. Volpe, The Electricity price modelling and derivatives pricing in the Nord Pool market, 2009.

A. Wagner, Residual Demand Modeling and Application to Electricity Pricing, The Energy Journal, vol.35, issue.2, p.2012
DOI : 10.5547/01956574.35.2.3

H. Working, Price relations between may and new-crop wheat futures at Chicago since 1885. Wheat Studies of the Food Research Institute, pp.183-228, 1934.

J. Yong and X. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations, pp.23-166, 1999.
DOI : 10.1007/978-1-4612-1466-3

D. Zanger, Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing, Finance and Stochastics, vol.16, issue.3, pp.503-534
DOI : 10.1007/s00780-013-0204-9

J. Zhang, A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004.
DOI : 10.1214/aoap/1075828058