Representation and approximation of ambit fields in Hilbert space

DOI10.1080/17442508.2016.1177057zbMath1379.60054arXiv1509.08272OpenAlexW2963817846MaRDI QIDQ2974867

Fred Espen Benth, Heidar Eyjolfsson

Publication date: 11 April 2017

Published in: Stochastics, Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.08272

zbMATH Keywords

Fourier transformstochastic partial differential equationsapproximationnumerical simulationforward pricingenergy marketsambit fieldsHilbert space representationLévy semistationary processesspot modeling

Mathematics Subject Classification ID

Random fields (60G60) Numerical methods (including Monte Carlo methods) (91G60) Stationary stochastic processes (60G10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (4)

Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations ⋮ Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations ⋮ Approximating ambit fields via Fourier methods ⋮ FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES

Cites Work

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• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
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• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Modelling Electricity Futures by Ambit Fields
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Pricing and Hedging Spread Options
• Estimation of stable CARMA models with an application to electricity spot prices
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

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