A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets
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Publication:5063388
DOI10.1080/1350486X.2021.2010106zbMath1484.91451arXiv2011.04256OpenAlexW3099223682MaRDI QIDQ5063388
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
Publication date: 21 March 2022
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.04256
Processes with independent increments; Lévy processes (60G51) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Financial markets (91G15)
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