Søk
Viser treff 1-5 av 5
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein–Uhlenbeck process with itself. The ...
(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, 2018)
We propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein–Uhlenbeck process with Lévy noise and ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2018)
We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation ...
(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 ...