Ambit Stochastics

DOI10.1007/978-3-319-94129-5zbMath1472.60002OpenAlexW4256136985MaRDI QIDQ4686609

Fred Espen Benth, Almut E. D. Veraart, Ole Eiler Barndorff-Nielsen

Publication date: 2 October 2018

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-94129-5

zbMATH Keywords

simulationoption pricingturbulence modellingVolterra processambit fieldambit setnon-semimartingale integration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Derivative securities (option pricing, hedging, etc.) (91G20) Fundamentals of turbulence (76F02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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