Approximating ambit fields via Fourier methods

DOI10.1080/17442508.2015.1019880MaRDI QIDQ2804015zbMATHOpenAlexFDO

Authors Heidar Eyjolfsson

Publication date 27 April 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2015.1019880

zbMATH Keywords

Fourier transformambit fieldspower marketssimulation schemespot-forward dynamics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Random fields (60G60)

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Cites work

• scientific article; zbMATH DE number 3875591 (Why is no real title available?)
• Ambit processes and stochastic partial differential equations
• Approximating Lévy semistationary processes via Fourier methods in the context of power markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Brownian semistationary processes and volatility/intermittency
• Lévy-based growth models
• Modelling electricity futures by ambit fields
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Spectral representations of infinitely divisible processes

Cited in

(3)

• An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
• Modelling electricity futures by ambit fields
• Forecasting energy market contracts by ambit processes: empirical study and numerical results

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