Work

Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency

Year: 2015

Type: article

Abstract: Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. This paper gives an overview of the main findings in ambit sto

Source: Banach Center Publications

DOI: 10.4064/bc104-0-2

Authors: Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart

Institutions: Aarhus University, University of Oslo, Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: European Commission, National Research Foundation, Danmarks Grundforskningsfond, Norges Forskningsråd

Award: Energy markets: modelling, optimization and simulation