In the research project "MetPVNet", both, the forecast-based operation management in distribution grids and as well as the forecasts of the feed-in of PV-power from decentralized plants could be improved on the basis of satellite data and numerical weather forecasts. Based on a detailed network...

This paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1275872 for the case of...

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an...

We provide and analyze analytical approximations of BSDEs in the limit of small non-linearity and short time, in the case of non-smooth drivers. We identify the first and the second order approximations within this asymptotics and consider two topical financial applications: the two interest...