Now showing items 1-2 of 2

  • Meyer-Brandis, Thilo; Tankov, Peter (Research report / Forskningsrapport, 2007)
    The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is traded like any other com- modity. In this paper, we study the most salient statistical features of ...
  • Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador; Tankov, Peter (Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
    We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity. These schemes combine a compound Poisson approximation for the ...