In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers at the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a decision problem of an electricity provider when...

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. Therefore, we apply the Heath-Platen (HP) estimator as first introduced by Heath and Platen to price barrier options in the Heston model setting as an alternative...

Due to the presence of stochastic volatility dynamics, the Fong-Vasicek short rate model is more complex but also more realistic than the classical Vasicek version. To enhance the numerical tractability of the Fong-Vasicek model for the calculation of bond option prices, we suggest the use of...