Ambit stochastics. ([2018])

• Record Type: Book
• Further Information: Note: Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E.D. Veraart.
• Authors: Barndorff-Nielsen, O. E (Ole E.); Benth, Fred Espen, 1969-; Veraart, Almut E. D
• Contents: Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 519.2; Mathematics; Stochastic processes; Probabilities; Distribution (Probability theory); Finance; Statistics; MATHEMATICS / Applied; MATHEMATICS / Probability & Statistics / General; Mathematics -- Applied; Science -- Mathematical Physics; Business & Economics -- Statistics; Mathematics -- Probability & Statistics -- General; Mathematical modelling; Finance & accounting; Mathematical physics; Probability & statistics; Electronic books
• Languages: English
• ISBNs: 9783319941295; 3319941291
• Related ISBNs: 9783319941288
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed November 7, 2018).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.