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Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
| Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart |
| Autore | Barndorff-Nielsen Ole E |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | XXV, 402 p. : gráf. ; ; 25 cm |
| Disciplina | 519.2 |
| Collana | Probability Theory and Stochastic Modelling |
| Soggetto topico |
Probabilities
Mathematical physics Social sciences - Mathematics Statistics Probability Theory Mathematical Physics Mathematics in Business, Economics and Finance Statistics in Business, Management, Economics, Finance, Insurance Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences |
| ISBN | 3-319-94129-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910300106803321 |
Barndorff-Nielsen Ole E
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Fascination of Probability, Statistics and their Applications : In Honour of Ole E. Barndorff-Nielsen / / edited by Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart
| The Fascination of Probability, Statistics and their Applications : In Honour of Ole E. Barndorff-Nielsen / / edited by Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (529 p.) |
| Disciplina | 510 |
| Soggetto topico |
Probabilities
Social sciences - Mathematics Statistics Probability Theory Mathematics in Business, Economics and Finance Statistical Theory and Methods |
| ISBN | 3-319-25826-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Ole E. Barndorff-Nielsen's Scientific Achievements; Contents; On the Size Distribution of Sand; 1 Introduction; 2 The Model and the Size-Distribution; 3 Interpretation of the Size Distribution Parameters; 4 Discussion; 5 Conclusion; References; From Wind-Blown Sand to Turbulence and Back; 1 Introduction; 2 The Deterministic Navier-Stokes Equations; 2.1 Reynolds Decomposition; 2.2 Solution of the Stochastic Navier-Stokes; 3 The Kolmogorov-Obukhov-She-Leveque Scaling; 3.1 Computation of the Structure Functions; 3.2 The First Few Structure Functions
3.3 The Invariant Measure of the Stochastic Navier-Stokes3.4 The Differential Equation for the PDF; 4 The Probability Density Function; 4.1 The Generalized Hyperbolic Distributions; 5 The PDF of Turbulence; References; Modelling Turbulent Time Series by BSS-Processes; 1 Introduction; 2 Stylised Features of Turbulent Time Series; 3 Modelling Framework; 3.1 The Cascade Model for the Turbulent Energy Dissipation; 3.2 A Stochastic Model for Turbulent Velocity Time Series; 4 Simulation Results; 4.1 Model Performance; 4.2 Simulation of BSS Processes; 4.3 Estimation Procedure; 5 Conclusion ReferencesAssociated Natural Exponential Families and Elliptic Functions; 1 Foreword; 2 Retrieving an NEF from Its Variance Function; 3 Associated Natural Exponential Families; 3.1 Examples of Associated Probabilities; 4 Discussion and Easy Cases for (Am4+Bm2+C)1/2; 4.1 The Case A=0; 4.2 The Case C=0; 4.3 The Case B2-4AC=0; 4.4 Ax2+Bx+C Cannot Have Simple Roots on (0,infty); 4.5 The Splitting of the Elliptic Variances in Three Cases; 5 The Elliptic Cases: The Case -1leqk20; 8 The Family F; 9 Conclusion: General Elliptic Variances ReferencesCumulants and Bartlett Identities in Cox Regression; 1 Introduction; 2 The Bartlett Identities, the Bartlett Factor, and Other Likelihood Quantities; 3 Bartlett Identities for Partial Likelihood; 4 The Cox Model; 5 Cumulants for Partial Likelihood; 6 Approximation and Estimation of the Cumulants; 7 Conclusion; References; Exchangeability and Infinite Divisibility; 1 Introduction; 2 Infinitely Divisible Exchangeable Distributions; 3 Matrices that Preserve Exchangeability; 4 Exchangeability Preserving Transformations 5 Exchangeability Preserving Transformations Based on Discrete Time6 Exchangeability Preserving Transformations Based on Continuous Time; References; Lévy Copulas: Review of Recent Results; 1 Introduction; 2 A Primer on Lévy Copulas; 3 Monte Carlo Simulation of Lévy Processes with a Specified Lévy Copula; 4 Statistical Estimation Techniques; 5 Lévy Copulas and Multivariate Regular Variation; 6 Risk Management Applications; 7 Conclusion; References; Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion; 1 Introduction 2 Generalised Ornstein-Uhlenbeck Processes |
| Record Nr. | UNINA-9910254082703321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Quantitative Energy Finance : Recent Trends and Developments / / edited by Fred Espen Benth, Almut E. D. Veraart
| Quantitative Energy Finance : Recent Trends and Developments / / edited by Fred Espen Benth, Almut E. D. Veraart |
| Autore | Benth Fred Espen |
| Edizione | [1st ed. 2024.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 |
| Descrizione fisica | 1 online resource (270 pages) |
| Disciplina | 519 |
| Altri autori (Persone) | VeraartAlmut E. D |
| Soggetto topico |
Social sciences - Mathematics
Power resources Statistics Mathematics in Business, Economics and Finance Natural Resource and Energy Economics Statistics in Business, Management, Economics, Finance, Insurance Indústries energètiques Finances Inversions |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9783031505973
3031505972 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Modelling of Energy Prices -- Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets -- Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing -- Periodic Trawl Processes: Simulation, Statistical Inference and Applications in Energy Markets -- Part II Energy Transition -- Fuelling the Energy Transition: The Effect of German Wind and PV Electricity Infeed on TTF Gas Prices -- A Mean-Field Game Model of Electricity Market Dynamics -- PPA Investments of Minimal Variability -- Part III Climate Risk -- Climate Risk in Structural Credit Models. |
| Record Nr. | UNINA-9910842493803321 |
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Benth Fred Espen
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| Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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