Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
From MaRDI portal
Publication:358131
DOI10.3150/12-BEJ476zbMath1337.60088arXiv1307.6332OpenAlexW3122603499MaRDI QIDQ358131
Almut E. D. Veraart, Fred Espen Benth, Ole Eiler Barndorff-Nielsen
Publication date: 16 August 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6332
stochastic integrationsemistationary Lévy processesenergy marketsforward pricesSamuelson effectspot pricesvolatility modulated Lévy-driven Volterra processes
Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
Related Items (max. 100)
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations ⋮ On Lévy Semistationary Processes with a Gamma Kernel ⋮ Ambit Fields: Survey and New Challenges ⋮ Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Cointegration in continuous time for factor models ⋮ On the approximation of Lévy driven Volterra processes and their integrals ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Ambit Processes, Their Volatility Determination and Their Applications ⋮ Integrability conditions for space-time stochastic integrals: theory and applications ⋮ Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions ⋮ A central limit theorem for the realised covariation of a bivariate Brownian semistationary process ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility ⋮ Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion ⋮ Interest rate modeling with generalized Langevin equations ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ On limit theory for Lévy semi-stationary processes ⋮ Representation and approximation of ambit fields in Hilbert space ⋮ Hybrid scheme for Brownian semistationary processes ⋮ Pathwise Decompositions of Brownian Semistationary Processes ⋮ Assessing relative volatility/ intermittency/energy dissipation ⋮ The local fractional bootstrap ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise ⋮ Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method ⋮ Selfdecomposable fields ⋮ On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis ⋮ PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Limit theorems for multivariate Brownian semistationary processes and feasible results ⋮ A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processes ⋮ Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes ⋮ Approximating ambit fields via Fourier methods ⋮ Gamma Kernels and BSS/LSS Processes ⋮ Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling ⋮ FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES ⋮ Finite-dimensional representations for controlled diffusions with delay ⋮ Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data ⋮ Ambit fields: a stochastic modelling approach ⋮ Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes ⋮ A generalised Itō formula for Lévy-driven Volterra processes
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate supOU processes
- Quasi Ornstein-Uhlenbeck processes
- Stationary infinitely divisible processes
- Lévy driven moving averages and semimartingales
- Gaussian moving averages and semimartingales
- Spectral representations of infinitely divisible processes
- A general version of the fundamental theorem of asset pricing
- Consistent price systems and face-lifting pricing under transaction costs
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
- Stochastic Integration on the Real Line
- Electricity spot price modelling with a view towards extreme spike risk
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
- Change of Time and Change of Measure
- THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
- Integrating Volatility Clustering Into Exponential Lévy Models
- Modelling Electricity Futures by Ambit Fields
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Time Change, Volatility, and Turbulence
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- An integral representation for selfdecomposable banach space valued random variables
- Normal Variance-Mean Mixtures and z Distributions
- Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Representations of continuous-time ARMA processes
- THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
- Ambit Processes and Stochastic Partial Differential Equations
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Spatial Analyses of Periodontal Data Using Conditionally Autoregressive Priors Having Two Classes of Neighbor Relations
- The Implied Market Price of Weather Risk
- Estimation for Non-Negative Lévy-Driven CARMA Processes
- Lévy-driven CARMA processes
This page was built for publication: Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
