Modelling Electricity Futures by Ambit Fields
type: Item
instance of: scholarly article
title: Modelling Electricity Futures by Ambit Fields
zbMATH Open document ID: 1304.91213
author: Fred Espen Benth
author: Almut E. D. Veraart
author: Ole E. Barndorff-Nielsen
published in: Advances in Applied Probability
publication date: 2014-09-25T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aap/1409319557
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G57
Mathematics Subject Classification ID: 60G60
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6347581
zbMATH Keywords: electricity market
zbMATH Keywords: futures price
zbMATH Keywords: random field
zbMATH Keywords: ambit field
zbMATH Keywords: Lévy base
zbMATH Keywords: Samuelson effect
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
OpenAlex ID: W2065887119
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DOI: 10.1239/AAP/1409319557
description: scientific article