Ambit Stochastics
-15%
portes grátis
Ambit Stochastics
Veraart, Almut E. D.; Barndorff-Nielsen, Ole E.; Benth, Fred Espen
Springer International Publishing AG
11/2018
402
Dura
Inglês
9783319941288
15 a 20 dias
805
Descrição não disponível.
Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
60G60, 60F05, 60H05, 60H07, 60H15, 60H20, 60J75, 62F12;62H11, 62M10, 62M30, 62P20, 62P35, 65C30, 76F55, 76M35;91B25, 91B70;Volterra processes;Levy processes;Ambit fields;volatility/intermittency;statistical turbulence;power variation;stochastic partial differential equations;stochastic PDEs;random fields;Levy basis;energy markets;stochastic integration;non-semimartingales;Trawl processes;quantitative finance
Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
60G60, 60F05, 60H05, 60H07, 60H15, 60H20, 60J75, 62F12;62H11, 62M10, 62M30, 62P20, 62P35, 65C30, 76F55, 76M35;91B25, 91B70;Volterra processes;Levy processes;Ambit fields;volatility/intermittency;statistical turbulence;power variation;stochastic partial differential equations;stochastic PDEs;random fields;Levy basis;energy markets;stochastic integration;non-semimartingales;Trawl processes;quantitative finance
