A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
type: Item
instance of: scholarly article
title: A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
author: Fred Espen Benth
author: Carlo Sgarra
published in: Finance and Stochastics
publication date: 2024-10-16T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 7927020
zbMATH Keywords: forward prices
zbMATH Keywords: stochastic volatility
zbMATH Keywords: leverage
zbMATH Keywords: Ornstein-Uhlenbeck
zbMATH Keywords: processes in Hilbert space
zbMATH Keywords: positive definite operators
zbMATH Keywords: Fourier transform
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
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DOI: 10.1007/S00780-024-00546-0
description: scientific article; zbMATH DE number 7927020