Climate change mitigation and the transformation to a global low-carbon economy is a pressing issue in policy discussions and international negotiations. The political debate is supported by the scientific community with a large number of projections, pathway simulations and scenario analyses of...

The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach...

We introduce a new class of basic functions based on characteristic functions to approximate two kinds of conditional expectations. we give the proofs and the error analysis of the approximations. In terms of such approximations, we employ a theta-discretization of time integrands for numerical...

In dieser Arbeit entwickeln wir neue Methoden und Verfahren, um aktuelle Modellierungsverfahren zu ergänzen und zu verbessern und um so ein tieferes Verständnis von Energiemärkten zu gewinnen. Wir untersuchen verschiedene Aspekte der stochastischen Modellierung von Energiemärkten: wir...

In this work, we analyse the Galerkin Infinite Element method for option pricing. The Infinite Element method is a very simple and efficient modifcation of the more common Finite Element method. It keeps the best features of Finite Elements, i.e. bandedness, easiness of programming, accuracy,...