Approximating ambit fields via Fourier methods

DOI10.1080/17442508.2015.1019880zbMATH Open1360.60095OpenAlexW2158081769MaRDI QIDQ2804015FDOQ2804015

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

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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)

Cites Work

• Spectral representations of infinitely divisible processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Title not available (Why is that?)
• Modelling electricity futures by ambit fields
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Ambit processes and stochastic partial differential equations
• Brownian semistationary processes and volatility/intermittency
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Lévy-based growth models
• Approximating Lévy semistationary processes via Fourier methods in the context of power markets

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