[BOOK][B] Modeling and pricing in financial markets for weather derivatives
FE Benth, J Saltyte-Benth - 2012 - books.google.com
Weather derivatives provide a tool for weather risk management, and the markets for these
exotic financial products are gradually emerging in size and importance. This unique …
exotic financial products are gradually emerging in size and importance. This unique …
Simulation and inference for stochastic processes with YUIMA
Statistics for stochastic processes is rapidly develo**. It forms a branch of mathematical
sciences, spreading over theoretical statistics, probability theory, software development and …
sciences, spreading over theoretical statistics, probability theory, software development and …
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
OE Barndorff-Nielsen, FE Benth, AED Veraart - 2013 - projecteuclid.org
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV)
processes and their important subclass of Lévy semistationary (LSS) processes as a new …
processes and their important subclass of Lévy semistationary (LSS) processes as a new …
Statistical methods for stochastic differential equations
M Kessler, A Lindner… - Monographs on Statistics …, 2012 - api.taylorfrancis.com
The chapters of this volume represent the revised versions of the main papers given at the
seventh Séminaire Européen de Statistique on “Statistics for Stochastic Differential …
seventh Séminaire Européen de Statistique on “Statistics for Stochastic Differential …
Recent results in the theory and applications of CARMA processes
PJ Brockwell - Annals of the Institute of Statistical Mathematics, 2014 - Springer
Just as ARMA processes play a central role in the representation of stationary time series
with discrete time parameter,(Y_n) _ n ∈ Z (Y n) n∈ Z, CARMA processes play an …
with discrete time parameter,(Y_n) _ n ∈ Z (Y n) n∈ Z, CARMA processes play an …
Futures pricing in electricity markets based on stable CARMA spot models
We present a new model for the electricity spot price dynamics, which is able to capture
seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual …
seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual …
Estimation of stable CARMA models with an application to electricity spot prices
We discuss theoretical properties and estimation of continuous-time ARMA (CARMA)
processes, which are driven by a stable Lévy process. Such processes are very useful in a …
processes, which are driven by a stable Lévy process. Such processes are very useful in a …
[HTML][HTML] Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
We consider the parametric estimation of the driving Lévy process of a multivariate
continuous-time autoregressive moving average (MCARMA) process, which is observed on …
continuous-time autoregressive moving average (MCARMA) process, which is observed on …
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
The class of multivariate Lévy-driven autoregressive moving average (MCARMA) processes,
the continuous-time analogs of the classical vector ARMA processes, is shown to be …
the continuous-time analogs of the classical vector ARMA processes, is shown to be …
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-
time linear state space models and equidistantly observed multivariate Lévy-driven …
time linear state space models and equidistantly observed multivariate Lévy-driven …