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Now showing items 11-20 of 42
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2016)
We treat a stochastic integration theory for a class of Hilbert-valued, volatility-modulated, conditionally Gaussian Volterra processes. We apply techniques from Malliavin calculus to define this stochastic integration as ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
In this paper, we show how to approximate Heath–Jarrow–Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite-dimensional state space. Moreover, we recover a closed-form ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with memory as, e.g., a Volterra equation ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)
Successful trading in electricity markets relies on the market actor's ability to accurately forecast the electricity price. The fundamental electricity price models use market information, provided by various price drivers, ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
Two stationary and non-negative processes that are based on continuous-time autoregressive moving average (CARMA) processes are discussed. First, we consider a generalization of Cox–Ingersoll–Ross (CIR) processes. Next, ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
Operating in energy and commodity markets require a management of risk using derivative products such as forward and futures, as well as options on these. Many of the popular stochastic models for spot dynamics and weather ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
We investigate the probabilistic and analytic properties of Volterra processes constructed as pathwise integrals of deterministic kernels with respect to the Hölder continuous trajectories of Hilbert-valued Gaussian ...