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Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
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Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency (2015)Recent advances in ambit stochastics with…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Modelling Electricity Futures by Ambit Fields (2014)Modelling Electricity Futures…Limit theorems for power variations of ambit fields driven by white noise (2014)Limit theorems for power vari…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Discretization of Processes (2011)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Option valuation using the fast Fourier transform (1999)Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach (2015)A survey of electricity spot and futures price models for risk management applications (2021)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)
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References

  • 2006An introduction to stochastic partial differential equations2,216 cited

Cited by

  • 2014Modelling Electricity Futures by Ambit Fields41 cited
  • 2014Limit theorems for power variations of ambit fields driven by white noise27 cited

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