Browsing Matematisk institutt by Author "Barndorff-Nielsen, Ole E."
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly ...
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt (Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space of Potthoff–Timpel distributions. Sufficient conditions for integrability of generalized processes ...
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)