Forecasting energy market contracts by ambit processes: empirical study and numerical results

DOI10.1155/2014/879892zbMath1321.62114OpenAlexW2151982221WikidataQ39284713 ScholiaQ39284713MaRDI QIDQ2338840

Michele Marchesan, Luca Di Persio

Publication date: 27 March 2015

Published in: International Scholarly Research Notices. Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/879892

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The Penn-Balassa-Samuelson effect through the lens of the dependent economy model
• Spectral representations of infinitely divisible processes
• Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
• Modelling Electricity Futures by Ambit Fields
• Financial Derivative and Energy Market Valuation
• Ambit Processes and Stochastic Partial Differential Equations
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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