Ambit Processes, Their Volatility Determination and Their Applications

DOI10.1007/978-3-319-03512-3_14zbMath1341.60039OpenAlexW126503346MaRDI QIDQ2946095

Arturo Valdivia, José Manuel Corcuera, Gergely Farkas

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_14

zbMATH Keywords

turbulence modelingvolatilityambit fieldsfinancial modelingambit processes

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Statistical turbulence modeling (76F55) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Cites Work

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