Abstract:

stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, L´evy processes

Abstract:

Variance Risk Premium, quadratic variation, stochastic volatility, Levy processes, leverage effect, Hawkes process, self-excitement, contagion, change of measure

Abstract:

Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstei-Uhlenbeck process, square root diffusion, Lévy process, Heston

Abstract:

Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility

Abstract:

Stochastic volatility of volatility, Levy process, Ornstein-Uhlenbeck process, variance risk premium, supOU process

Abstract:

Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

Abstract:

Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

Abstract:

CARMA model, Electricity spot prices, Electricity futures prices, Lévy process, Lévy semistationary process, Wind energy

Abstract:

Levy semistationary processes, regime switch, stochastic volatility, CARMA processes, generalised hyperbolic distribution, energy markets, electricity prices

Abstract:

Ambit fields, commodities, forward prices, spread options

Abstract:

photovoltaic power generation, stochastic modelling, time series, forecasting, EEX market

Abstract:

energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price

Abstract:

count data, continuous time modelling of multivariate time series, trawl processes, infinitely divisible, Poisson mixtures, multivariate negative binomial law, limit order book

Abstract:

Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

Abstract:

trawl process, peaks-over-threshold, generalised Pareto distribution, pairwise likelihood estimation, Kullback-Leibler divergence

Abstract:

Dependence modelling, spikes, doubly stochastic Poisson process, CAR processes, electricity prices, wind penetration index

Abstract:

Trawl process, central limit theorem, generalised Pareto distribution, pairwise likelihood estimation, Generalised Method of Moments

Abstract:

Abstract:

Quadratic variation, Itô semimartingale, stochastic volatility, jumps, realised variance, realised multipower variation, high-frequency data