Modelling electricity futures by ambit fields
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random fieldstochastic volatilityelectricity marketSamuelson effectfutures priceambit fieldLévy base
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Random fields (60G60) Random measures (60G57) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)
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Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 3875591 (Why is no real title available?)
- scientific article; zbMATH DE number 3984248 (Why is no real title available?)
- scientific article; zbMATH DE number 1227086 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
- A general version of the fundamental theorem of asset pricing
- A model of the term structure of interest rates based on Lévy fields
- A two-factor model for the electricity forward market
- Ambit processes and stochastic partial differential equations
- Ambit processes; with applications to turbulence and tumour growth
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Brownian semistationary processes and volatility/intermittency
- CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
- Change of time and change of measure
- Characterizing Gaussian Models of the Term Structure of Interest Rates
- Continuous-time ARMA processes
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Interest rate models: an infinite dimensional stochastic analysis perspective
- Lévy-based spatial-temporal modelling, with applications to turbulence
- Lévy-driven CARMA processes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Modelling spikes and pricing swing options in electricity markets
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Pricing electricity risk by interest rate methods
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
- Risk Premia in Electricity Forward Prices
- Spatio-temporal modelling -- with a view to biological growth
- Spectral representations of infinitely divisible processes
- Stochastic Equations in Infinite Dimensions
- Stochastic Integration with Jumps
- Stochastic integrals in additive processes and application to semi-Lévy processes
- Stochastic modeling of electricity and related markets.
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- The cumulant process and Esscher's change of measure
- The effect of estimation in high-dimensional portfolios
- The forward dynamics in energy markets – infinite-dimensional modelling and simulation
- The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
- Time Change, Volatility, and Turbulence
Cited in
(32)- On the approximation of Lévy driven Volterra processes and their integrals
- Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
- Integrability of multivariate subordinated Lévy processes in Hilbert space
- Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
- Pathwise decompositions of Brownian semistationary processes
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Hybrid simulation scheme for volatility modulated moving average fields
- Ambit processes, their volatility determination and their applications
- Forecasting energy market contracts by ambit processes: empirical study and numerical results
- Polynomial Volterra processes
- Ambit fields: a stochastic modelling approach
- Limit theorems for power variations of ambit fields driven by white noise
- Measure-valued processes for energy markets
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Derivatives pricing in energy markets: an infinite-dimensional approach
- Robustness of Hilbert space-valued stochastic volatility models
- A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Approximating ambit fields via Fourier methods
- Gaussian Volterra processes as models of electricity markets
- An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
- Ole Eiler Barndorff-Nielsen and financial econometrics
- A new approach to wind power futures pricing
- Simulation methods and error analysis for trawl processes and ambit fields
- From calendar time to business time: the case of commodity markets
- Empirical likelihood methods for discretely observed Gaussian moving averages
- Electricity futures price modeling with Lévy term structure models
- Stationary infinitely divisible processes
- Selfdecomposable fields
- A scalar-valued infinitely divisible random field with Pólya autocorrelation
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