Approximating ambit fields via Fourier methods

DOI10.1080/17442508.2015.1019880zbMath1360.60095OpenAlexW2158081769MaRDI QIDQ2804015

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) Random fields (60G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Lévy-based growth models
• Spectral representations of infinitely divisible processes
• Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets
• Representation and approximation of ambit fields in Hilbert space
• Modelling Electricity Futures by Ambit Fields
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Ambit Processes and Stochastic Partial Differential Equations
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency

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